Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling 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
Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling 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
This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis...
Dieses Buch behandelt die mathematische Bewertung von synthetischen Collateralized Debt Obligations. Neben einer betriebswirtschaftlichen Einführung dieser Finanzinstrumente und der Bereitstellung...
Modelling multivariate dependence structures has proven to be an important aspect in the field of finance. The reality of financial markets shows clear evidence that asset returns exhibit...
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula ...
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