Copula Modeling : An Introduction for Practitioners (Foundations and Trends® in Econometrics)

Trivedi, Pravin K./ Zimmer, David M.

now publishers Inc（2007/04発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 128 p.
• 言語 ENG
• 商品コード 9781601980205
• DDC分類 330.015195

Full Description

Explores the copula approach for econometrics modeling of joint parametric distributions and demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software.

This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling.

Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties.

Contents

Introduction; Copulas and Dependence; Generating Copulas; Copula Estimation; Conclusions: Appendix; References