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Copula Theory and Its Applications Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 /
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2010.
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| Edición: | 1st ed. 2010. |
| Colección: | Lecture Notes in Statistics - Proceedings ;
198 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 245 | 1 | 0 | |a Copula Theory and Its Applications |h [electronic resource] : |b Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 / |c edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik. |
| 250 | |a 1st ed. 2010. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2010. | |
| 300 | |a XVIII, 327 p. 25 illus. |b online resource. | ||
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| 490 | 1 | |a Lecture Notes in Statistics - Proceedings ; |v 198 | |
| 505 | 0 | |a Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions. | |
| 520 | |a Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw. | ||
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Business mathematics. | |
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Business. | |
| 650 | 0 | |a Management science. | |
| 650 | 1 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Financial Economics. |
| 650 | 2 | 4 | |a Business Mathematics. |
| 650 | 2 | 4 | |a Statistical Theory and Methods. |
| 650 | 2 | 4 | |a Statistics in Business, Management, Economics, Finance, Insurance. |
| 650 | 2 | 4 | |a Business and Management. |
| 700 | 1 | |a Jaworski, Piotr. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Durante, Fabrizio. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Härdle, Wolfgang Karl. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 700 | 1 | |a Rychlik, Tomasz. |e editor. |4 edt |4 http://id.loc.gov/vocabulary/relators/edt | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783642124648 |
| 776 | 0 | 8 | |i Printed edition: |z 9783642124662 |
| 830 | 0 | |a Lecture Notes in Statistics - Proceedings ; |v 198 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-642-12465-5 |z Texto Completo |
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| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||