Copula

Copula Modeling (Foundations and Trends in Econometrics)

Pravin, K. Trivedi, David, M. Zimmer,"Copula Modeling (Foundations and Trends in Econometrics)"

Now Publishers Inc | 2007-04-24 | PDF | Pages: 128 | ISBN: 1601980205 | 2.24mb

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

Convolution Copula Econometrics (SpringerBriefs in Statistics)  eBooks & eLearning

Posted by hill0 at Dec. 5, 2016
Convolution Copula Econometrics (SpringerBriefs in Statistics)

Convolution Copula Econometrics (SpringerBriefs in Statistics) by Umberto Cherubini
English | 7 Dec. 2016 | ISBN: 3319480146 | 102 Pages | PDF | 3.37 MB

This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes.

Principles of Copula Theory  

Posted by nebulae at July 21, 2015
Principles of Copula Theory

Fabrizio Durante, Carlo Sempi, "Principles of Copula Theory"
English | ISBN: 1439884420 | 2015 | 332 pages | PDF | 19 MB

Copula Theory and Its Applications (repost)  

Posted by MoneyRich at Nov. 24, 2014
Copula Theory and Its Applications (repost)

Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 by Piotr Jaworski
English | July 24, 2010 | ISBN: 364212464X | 327 pages | PDF | 5 MB

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Copula: Sexual Technologies, Reproductive Powers (Suny Series in Gender Theory)

Copula: Sexual Technologies, Reproductive Powers (Suny Series in Gender Theory) by Robyn Ferrell
State Univ of New York Pr | June 12, 2006 | English | ISBN: 0791467538 | 175 pages | PDF | 1 MB

Explores the conceptual schema underlying our understanding of reproductive technologies.

Copula Methods in Finance [Repost]  

Posted by JohnZulzman at Sept. 18, 2014
Copula Methods in Finance [Repost]

Copula Methods in Finance
Wiley; 1 edition | ISBN: 0470863447 | 310 pages | PDF | July 2, 2004 | English | 4.61 Mb
Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions [Repost]

Enrico Marcantoni - Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions
Published: 2014-02-03 | ISBN: 365804845X | PDF | 95 pages | 5 MB

Dynamic Copula Methods in Finance (repost)  

Posted by interes at May 20, 2014
Dynamic Copula Methods in Finance (repost)

Dynamic Copula Methods in Finance by Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi and Silvia Romagnoli
English | ISBN: 0470683074 | 2011 | PDF | 284 pages | 3,7 MB

This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes.

Copula Methods in Finance (repost)  

Posted by Veslefrikk at March 29, 2014
Copula Methods in Finance (repost)

Giovanni Cherubini, Elisa Luciano, Walter Vecchiato - Copula Methods in Finance
John Wiley & Sons | 2004 | ISBN: 0470863447 | Pages: 310 | PDF | 4 MB
Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions

Enrico Marcantoni, "Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions"
2014 | ISBN-10: 365804845X | 109 pages | PDF | 5,5 MB