A copula-based method to build diffusion models with prescribed marginal and serial dependence

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

zbMATH Keywords

copulasstochastic differential equationsdiffusionsserial dependencespace-time transformations

Mathematics Subject Classification ID

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

• R
• CopulaModel

Cites Work

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