Convolution Copula Econometrics von Umberto Cherubini | ISBN 9783319480152

Convolution Copula Econometrics

von Umberto Cherubini, Fabio Gobbi und Sabrina Mulinacci
Mitwirkende
Autor / AutorinUmberto Cherubini
Autor / AutorinFabio Gobbi
Autor / AutorinSabrina Mulinacci
Buchcover Convolution Copula Econometrics | Umberto Cherubini | EAN 9783319480152 | ISBN 3-319-48015-4 | ISBN 978-3-319-48015-2

“The goal of the book is to gather the main concepts of copula function theory that can be applied to the analysis of time series (so-called convolution-based copulas), and some new ideas, linked to copulas, such as estimation of copula-based Markov processes. … The book will be useful for the researchers working in econometrics, interest rate, Markov processes and copulas fields.” (Anatoliy Swishchuk, zbMATH 1360.62006, 2017)

Convolution Copula Econometrics

von Umberto Cherubini, Fabio Gobbi und Sabrina Mulinacci
Mitwirkende
Autor / AutorinUmberto Cherubini
Autor / AutorinFabio Gobbi
Autor / AutorinSabrina Mulinacci
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.