Copula Theory and Its Applications

Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

Häftad, Engelska, 2010

AvPiotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik,Wolfgang Karl Hardle

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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.

Produktinformation

Utgivningsdatum2010-07-24
Mått155 x 235 x 23 mm
Vikt538 g
FormatHäftad
SpråkEngelska
SerieLecture Notes in Statistics
Antal sidor327
Upplaga2010
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642124648

Tillhör följande kategorier

Surveys.- Copula Theory: An Introduction.- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes.- Copula Estimation.- Pair-Copula Constructions of Multivariate Copulas.- Risk Aggregation.- Extreme-Value Copulas.- Construction and Sampling of Nested Archimedean Copulas.- Tail Behaviour of Copulas.- Copulae in Reliability Theory (Order Statistics, Coherent Systems).- Copula-Based Measures of Multivariate Association.- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing.- Contributed Papers.- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets.- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data.- Testing Under the Extended Koziol-Green Model.- Parameter Estimation and Application of the Multivariate Skew t-Copula.- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas.- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.