Copula Modeling

Name: Copula Modeling
SKU: 1933402
Price: 186.99 AUD
Availability: InStock

An Introduction for Practitioners

By:

Format:

Paperback / softback

Series:

Foundations and Trends(R) in Econometrics

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Description

Explores the copula approach for econometrics modeling of joint parametric distributions and demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties.

Release date Australia

April 23rd, 2007

Author

Audience

Professional & Vocational

Pages

128

Series

Foundations and Trends(R) in Econometrics

Dimensions

156x234x7

ISBN-13

9781601980205

Product ID

1933402

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