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

convolution-based copulacopulacopula-based Markov processeseconometricsestimationsinterest rateMarkov processes

Mathematics Subject Classification ID

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)

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Cited in

(16)

• 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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