Convolution copula econometrics

DOI10.1007/978-3-319-48015-2MaRDI QIDQ504915zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci

Publication date 17 January 2017

Published in SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-48015-2

zbMATH Keywords

copulaeconometricsMarkov processesinterest rateestimationsconvolution-based copulacopula-based Markov processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Recommendations

• Copula-Based Regression Estimation and Inference
• Copulas and regression models
• A review of copula models for economic time series
• Convolution and composition of totally positive random variables in economics
• Stochastic frontier models by copulas and an application
• Copula-based regression models: a survey
• Copulas: concepts and novel applications
• Copula Component Analysis
• Concordance and copulas: a survey
• scientific article; zbMATH DE number 2152891

Cited in

(15)

• Copula-based Markov models for time series. Parametric inference and process control
• Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
• On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
• Structural change in the link between oil and the European stock market: implications for risk management
• A comprehensive family of copulas to model bivariate random noise and perturbation
• Copula-based Markov process
• Several algorithms for constructing copulas via \(\ast\)-product decompositions
• Mixing and moments properties of a non-stationary copula-based Markov process
• A copula-based approximation to Markov chains
• Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk
• Copula-based measurement error models
• On sums of dependent random lifetimes under the time-transformed exponential model
• scientific article; zbMATH DE number 7660127 (Why is no real title available?)
• COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
• Random noise and perturbation of copulas.

This page was built for publication: Convolution copula econometrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q504915)