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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Cherubini, Umberto (Author), Gobbi, Fabio (Author), Mulinacci, Sabrina (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edition:1st ed. 2016.
Series:SpringerBriefs in Statistics,
Subjects:
Statistics .
Probabilities.
Econometrics.
Mathematics.
Statistics in Business, Management, Economics, Finance, Insurance.
Probability Theory.
Statistical Theory and Methods.
Applications of Mathematics.
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. .

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