Copula modeling : an introduction for practitioners

Bibliographic Information

Copula modeling : an introduction for practitioners

Pravin K. Trivedi, David M. Zimmer

Now, c2007

Available at  / 12 libraries

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Note

"This book originally published as Foundations and trends in econometrics, volume 1 issue 1 (2005)."--P. [4] of cover

Bibliography: p. 101-109

Description and Table of Contents

Description

Explores the copula approach for econometrics modeling of joint parametric distributions and demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties.

Table of Contents

  • Introduction
  • Copulas and Dependence
  • Generating Copulas
  • Copula Estimation
  • Conclusions: Appendix
  • References

by "Nielsen BookData"

Details

  • NCID
    BA8428099X
  • ISBN
    • 9781601980205
  • Country Code
    us
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Boston
  • Pages/Volumes
    ix, 115 p.
  • Size
    24 cm
  • Subject Headings
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