Convolution copula econometrics

DOI10.1007/978-3-319-48015-2zbMath1360.62006OpenAlexW2558713005MaRDI QIDQ504915

Sabrina Mulinacci, Fabio Gobbi, Umberto Cherubini

Publication date: 17 January 2017

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-48015-2

zbMATH Keywords

copulaMarkov processesinterest rateeconometricsestimationsconvolution-based copulacopula-based Markov processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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