Convolution Copula Econometrics
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 assumpt...
| Main Authors: | , , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Series: | SpringerBriefs in Statistics,
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| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
Table of Contents:
- Preface
- The Dynamics of Economic Variables
- Estimation of Copula Models
- Copulas and Estimation of Markov Processes
- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior
- Convolution-based Processes
- Application to Interest Rates. .
