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Catalogue Information
Field name	Details
Dewey Class	330.015195
Title	Convolution Copula Econometrics ([EBook]) / by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci.
Author	Cherubini, Umberto
Added Personal Name	Gobbi, Fabio author.
Added Personal Name	Mulinacci, Sabrina author.
Other name(s)	SpringerLink (Online service)
Publication	Cham : : Springer International Publishing : : Imprint: Springer, , 2016.
Physical Details	X, 90 p. 31 illus., 30 illus. in color. : online resource.
Series	SpringerBriefs in Statistics 2191-544X
ISBN	9783319480152
Summary Note	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.:
Contents note	Preface -- The Dynamics of Economic Variables -- Estimation of Copula Models -- Copulas and Estimation of Markov Processes -- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior -- Convolution-based Processes -- Application to Interest Rates. .
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-319-48015-2
Links to Related Works	Subject References: Applications of Mathematics . Applied mathematics . Econometrics . Engineering mathematics . Probabilities . Probability theory and stochastic processes . Statistical Theory and Methods . Statistics . Statistics for Business/Economics/Mathematical Finance/Insurance . Authors: Cherubini, Umberto . Gobbi, Fabio . Mulinacci, Sabrina . Corporate Authors: SpringerLink (Online service) . Series: SpringerBriefs in Statistics . Classification: 330.015195 .

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Convolution Copula Econometrics

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