A copula-based method to build diffusion models with prescribed marginal and serial dependence
From MaRDI portal
Publication:340123
DOI10.1007/s11009-016-9487-6zbMath1351.60107arXiv1509.02319OpenAlexW2963056138MaRDI QIDQ340123
Enrico Bibbona, Emiliano Torre, Laura Sacerdote
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.02319
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
Related Items (4)
On Copula-Itô processes ⋮ Time evolutions of copulas and foreign exchange markets ⋮ Modern Challenges and Interdisciplinary Interactions via Mathematical, Statistical, and Computational Models ⋮ Copula-based Markov process
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On dependency properties of the ISIs generated by a two-compartmental neuronal model
- A transformation approach to modelling multi-modal diffusions
- Copulas for Markovian dependence
- On the transformation of diffusion equations and boundaries into the Kolmogorov equation for the Wiener process
- An introduction to copulas.
- Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
- Copulas and Markov processes
- On the transformation of diffusion processes into the Feller process
- On the transformation of diffusion processes into the Wiener process
- Diffusion-type models with given marginal distribution and autocorrelation function
- A note on relationships between some univariate stochastic orders and the corresponding joint stochastic orders
- Copulas: Tales and facts (with discussion)
- Two singular diffusion problems
- On dynamic mutual information for bivariate lifetimes
- A Theory of the Term Structure of Interest Rates
- Comparisons of series and parallel systems with components sharing the same copula
- Dependence Modeling with Copulas
- Some remarks on the Rayleigh process
- On the Transformation of Diffusion Processes into the Wiener Process
- Estimation in Discretely Observed Diffusions Killed at a Threshold
- Ornstein–Uhlenbeck type processes with non-normal distribution
- The group classification of a scalar stochastic differential equation
This page was built for publication: A copula-based method to build diffusion models with prescribed marginal and serial dependence
