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Convolution Copula Econometrics

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This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field

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Series Title

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Call Number

519

Publisher

Cham : Springer., 2015

Collation

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Language

English

ISBN/ISSN

9783319480152

Classification

519

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Carrier Type

online resource

Edition

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Subject(s)

Applied Mathematics

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Cataloger

Kurnadi

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