Copula Modeling

Trivedi P. K. Trivedi Pravin K. Zimmer David M.

ISBN 10: 1601980205 / ISBN 13: 9781601980205

Verlag: Now Publishers, 2007

Print on Demand pp. 128 Illus. Bestandsnummer des Verkäufers 4290376

Inhaltsangabe:

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.

Bibliografische Details

Titel: Copula Modeling
Verlag: Now Publishers
Erscheinungsdatum: 2007
Einband: Softcover
Zustand: New