Convolution Copula Econometrics, Umberto Cherubini; Fabio Gobbi; Sabrina Mulinacci

Автор: Nelsen
Название: An Introduction to Copulas
ISBN: 0387286594 ISBN-13(EAN): 9780387286594
Издательство: Springer
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Цена: 149060.00 T
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Описание: Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions.With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required.Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.

Автор: Ibragimov Rustam Et Al
Название: Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance
ISBN: 9814689793 ISBN-13(EAN): 9789814689793
Издательство: World Scientific Publishing
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Цена: 103490.00 T
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Описание: 'Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory.'Quantitative Finance This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails -- two particularly valuable tools of today's research in economics, finance, econometrics and other fields -- in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions -- all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

Автор: Jaworski
Название: Copula theory and its applications
ISBN: 364212464X ISBN-13(EAN): 9783642124648
Издательство: Springer
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Цена: 130430.00 T
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Описание: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models.

Автор: Kurowicka Dorota Et Al
Название: Dependence Modeling: Vine Copula Handbook
ISBN: 9814299871 ISBN-13(EAN): 9789814299879
Издательство: World Scientific Publishing
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Цена: 137280.00 T
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Описание: Research and applications in vines have been growing rapidly. This book traces historical developments, standardizing notation and terminology. It summarizes results on bivariate copulae and results for regular vines. It gives an overview of its applications.

Название: Copulae and Multivariate Probability Distributions in Finance
ISBN: 0415814855 ISBN-13(EAN): 9780415814850
Издательство: Taylor&Francis
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Цена: 91860.00 T
Наличие на складе: Невозможна поставка.
Описание: This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. It describes the state of the art in the tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Автор: Mai Jan-Frederik
Название: Financial Engineering with Copulas Explained
ISBN: 1137346302 ISBN-13(EAN): 9781137346308
Издательство: Springer
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Цена: 27940.00 T
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Описание: This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer`s toolkit.