The Resource Convolution Copula econometrics, Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci

Convolution Copula econometrics, Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci

Label
Convolution Copula econometrics
Title
Convolution Copula econometrics
Statement of responsibility
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Creator
Contributor
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
YDX
http://library.link/vocab/creatorName
Cherubini, Umberto
Dewey number
  • 519.5/35
  • 519.5
Index
no index present
LC call number
  • QA273.6
  • QA276-280
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Gobbi, Fabio
  • Mulinacci, Sabrina
Series statement
SpringerBriefs in statistics
http://library.link/vocab/subjectName
  • Copulas (Mathematical statistics)
  • Econometrics
  • MATHEMATICS
  • MATHEMATICS
  • Copulas (Mathematical statistics)
  • Econometrics
Label
Convolution Copula econometrics, Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-48015-2
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319480152
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
SpringerLink
Other control number
10.1007/978-3-319-48015-2
Specific material designation
remote
System control number
  • (OCoLC)965492846
  • (OCoLC)ocn965492846
Label
Convolution Copula econometrics, Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-48015-2
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319480152
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
SpringerLink
Other control number
10.1007/978-3-319-48015-2
Specific material designation
remote
System control number
  • (OCoLC)965492846
  • (OCoLC)ocn965492846

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