Convolution Copula Econometrics (Springerbriefs in Statistics)

Cherubini, Umberto/ Gobbi, Fabio/ Mulinacci, Sabrina

Springer International Publishing AG（2016/12発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 90 p.
• 言語 ENG
• 商品コード 9783319480145
• DDC分類 330.015195

Full Description

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. 

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.