Convolution copula econometrics
convolution-based copulacopulacopula-based Markov processeseconometricsestimationsinterest rateMarkov processes
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Measures of association (correlation, canonical correlation, etc.) (62H20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84)
The goal of the book is to gather the main concepts of copula function theory that can be applied to the analysis of time series (so-called convolution-based copulas), and some new ideas, linked to copulas, such as estimation of copula-based Markov processes. Due to the complexity of the subject, the analysis is limited to the univariate setting and the standard first-order Markov processes, that is the AR(1) model. The book consists of 5 chapters. Chapter 1 explores the use of nonparametric analysis that are typical of copula function applications to detect nonlinearities in a time series model. Chapter 2 is mainly focused on the estimation issue. The issue of representation and estimation of Markov processes with copula functions is addressed in Chapter 3. Chapter 4 develops the theory of convolution-based copulas and shows how to estimate and simulate copula of this kind. Finally, Chapter 5 presents an application to the analysis of the dynamics of the short-term interest rate. The book will be useful for the researchers working in econometrics, interest rate, Markov processes and copulas fields.
- 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
- Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
- A comprehensive family of copulas to model bivariate random noise and perturbation
- A copula-based approximation to Markov chains
- Structural change in the link between oil and the European stock market: implications for risk management
- Copula-based Markov models for time series. Parametric inference and process control
- Copula-based Markov process
- On sums of dependent random lifetimes under the time-transformed exponential model
- On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
- COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
- Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk
- Mixing and moments properties of a non-stationary copula-based Markov process
- Random noise and perturbation of copulas.
- Copula-based measurement error models
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Several algorithms for constructing copulas via \(\ast\)-product decompositions
- On the weak convergence and the uniform-in-bandwidth consistency of the general conditional U-processes based on the copula representation: multivariate setting
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