Convolution copula econometrics
type: Item
instance of: scholarly article
title: Convolution copula econometrics
zbMATH Open document ID: 1360.62006
DOI: 10.1007/978-3-319-48015-2
author: Umberto Cherubini
author: Fabio Gobbi
author: Sabrina Mulinacci
published in: SpringerBriefs in Statistics
publication date: 2017-01-17T00:00:00Z
review text: The goal of the book is to gather the main concepts of copula function theory that can be applied to the analysis of time series (so-called convolution-based copulas), and some new ideas, linked to copulas, such as estimation of copula-based Markov processes. Due to the complexity of the subject, the analysis is limited to the univariate setting and the standard first-order Markov processes, that is the AR(1) model. The book consists of 5 chapters. Chapter 1 explores the use of nonparametric analysis that are typical of copula function applications to detect nonlinearities in a time series model. Chapter 2 is mainly focused on the estimation issue. The issue of representation and estimation of Markov processes with copula functions is addressed in Chapter 3. Chapter 4 develops the theory of convolution-based copulas and shows how to estimate and simulate copula of this kind. Finally, Chapter 5 presents an application to the analysis of the dynamics of the short-term interest rate. The book will be useful for the researchers working in econometrics, interest rate, Markov processes and copulas fields.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 62-02
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6675714
zbMATH Keywords: econometrics
zbMATH Keywords: copula
zbMATH Keywords: convolution-based copula
zbMATH Keywords: Markov processes
zbMATH Keywords: copula-based Markov processes
zbMATH Keywords: interest rate
zbMATH Keywords: estimations
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-319-48015-2
OpenAlex ID: W2558713005
Recommended article: Copula-Based Regression Estimation and Inference
Recommended article: Q4991219
Recommended article: A review of copula models for economic time series
Recommended article: Convolution and composition of totally positive random variables in economics
Recommended article: Q4605112
Recommended article: Copula-based regression models: a survey
Recommended article: Copulas: concepts and novel applications
Recommended article: Copula Component Analysis
Recommended article: Q5386484
Recommended article: Q4664483
description: scientific article; zbMATH DE number 6675714