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Convolution Copula Econometrics
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumpt...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | SpringerBriefs in Statistics,
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| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
|---|---|---|---|
| 001 | 978-3-319-48015-2 | ||
| 003 | DE-He213 | ||
| 005 | 20220120080740.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 161201s2016 sz | s |||| 0|eng d | ||
| 020 | |a 9783319480152 |9 978-3-319-48015-2 | ||
| 024 | 7 | |a 10.1007/978-3-319-48015-2 |2 doi | |
| 050 | 4 | |a QA276-280 | |
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| 100 | 1 | |a Cherubini, Umberto. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Convolution Copula Econometrics |h [electronic resource] / |c by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci. |
| 250 | |a 1st ed. 2016. | ||
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2016. | |
| 300 | |a X, 90 p. 31 illus., 30 illus. in color. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a SpringerBriefs in Statistics, |x 2191-5458 | |
| 505 | 0 | |a Preface -- The Dynamics of Economic Variables -- Estimation of Copula Models -- Copulas and Estimation of Markov Processes -- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior -- Convolution-based Processes -- Application to Interest Rates. . | |
| 520 | |a This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field. | ||
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Mathematics. | |
| 650 | 1 | 4 | |a Statistics in Business, Management, Economics, Finance, Insurance. |
| 650 | 2 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Econometrics. |
| 650 | 2 | 4 | |a Statistical Theory and Methods. |
| 650 | 2 | 4 | |a Applications of Mathematics. |
| 700 | 1 | |a Gobbi, Fabio. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 700 | 1 | |a Mulinacci, Sabrina. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783319480145 |
| 776 | 0 | 8 | |i Printed edition: |z 9783319480169 |
| 830 | 0 | |a SpringerBriefs in Statistics, |x 2191-5458 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-319-48015-2 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||