Convolution Copula Econometrics PDF
by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Part of the SpringerBriefs in Statistics series
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.
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:01/12/2016
- Category:
- ISBN:9783319480152
Other Formats
- Paperback / softback from £40.99
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:01/12/2016
- Category:
- ISBN:9783319480152
