Copula Theory and Its Applications
Springer Berlin (Verlag)
978-3-642-12464-8 (ISBN)
This book is divided into two main parts: Part I Surveys contains 11 manuscripts that provide an up-to-date account of essential aspects of copula models. Part II Contributions collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Wolfgang Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.
Surveys.- Copula Theory: An Introduction.- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes.- Copula Estimation.- Pair-Copula Constructions of Multivariate Copulas.- Risk Aggregation.- Extreme-Value Copulas.- Construction and Sampling of Nested Archimedean Copulas.- Tail Behaviour of Copulas.- Copulae in Reliability Theory (Order Statistics, Coherent Systems).- Copula-Based Measures of Multivariate Association.- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing.- Contributed Papers.- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets.- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data.- Testing Under the Extended Koziol-Green Model.- Parameter Estimation and Application of the Multivariate Skew t-Copula.- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas.- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.
| Erscheint lt. Verlag | 24.7.2010 |
|---|---|
| Reihe/Serie | Lecture Notes in Statistics | Lecture Notes in Statistics - Proceedings |
| Zusatzinfo | XVIII, 327 p. 25 illus. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 520 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | Copulas • Dependence concepts • measure • Modeling • Random Variable • reliability theory • Risk aggregation • stochastic model • stochastic models • Stochastic process • Stochastic Processes |
| ISBN-10 | 3-642-12464-X / 364212464X |
| ISBN-13 | 978-3-642-12464-8 / 9783642124648 |
| Zustand | Neuware |
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