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...
Call Number: | Libro Electrónico |
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Main Authors: | , , |
Corporate Author: | |
Format: | Electronic eBook |
Language: | Inglés |
Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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Edition: | 1st ed. 2016. |
Series: | SpringerBriefs in Statistics,
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Subjects: | |
Online Access: | Texto Completo |
Table of Contents:
- 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. .