Copula Modeling: An Introduction for Practioners (Foundations and Trends in Econometrics)

Trivedi, Pravin K.; Zimmer, David M.

ISBN 10: 1601980205 / ISBN 13: 9781601980205

Editore: Now Pub, 2007

In. Codice articolo ria9781601980205_new

Riassunto:

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.

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Titolo: Copula Modeling: An Introduction for ...
Casa editrice: Now Pub
Data di pubblicazione: 2007
Legatura: Brossura
Condizione: New