Higher-dimensional copula models and their application: Bayesian inference for D-vine pair-copula constructions based on different bivariate families - Softcover

Ma, Jiabao

 
9783639307061: Higher-dimensional copula models and their application: Bayesian inference for D-vine pair-copula constructions based on different bivariate families
Softcover
ISBN 10: 3639307062 ISBN 13: 9783639307061
Verlag: VDM Verlag Dr. Müller, 2010

Inhaltsangabe

Modelling multivariate dependence structures has proven to be an important aspect in the field of finance. The reality of financial markets shows clear evidence that asset returns exhibit non-normal dependence. Since copula functions have been applied to the solution of these non-normal distributed problems, they find wide-ranging application in the fields of risk management, derivative pricing, hedging and optimal portfolio decisions. Pair-copula construction allows modelling of the dependence structure between different higher-dimensional time series. The author shows a flexible way to estimate and calibrate such higher-dimensional copula models and provides the application of U.S. industrial returns. In his simulation study he shows the sensitivity with respect to the copula parameter and different families using newly developed R-packages.

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Verlag
VDM Verlag Dr. Müller
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3639307062
ISBN 13 
9783639307061
Einband
Taschenbuch
Anzahl der Seiten
196
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Edicoes Nosso Conhecimento
customerservice@vdm-vsg.de

SIA
Riga
1039
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