Higher-dimensional copula models and their application : Bayesian inference for D-vine pair-copula constructions based on different bivariate families
Language: English
Published by VDM Verlag Dr. Müller, 2010
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 61.92
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - Modelling multivariate dependence structures has proven to be an important aspect in the field of finance. The reality of financial markets shows clear evidence that asset returns exhibit non-normal dependence. Since copula functions have been applied to the solution of these non-normal distributed problems, they find wide-ranging application in the fields of risk management, derivative pricing, hedging and optimal portfolio decisions. Pair-copula construction allows modelling of the dependence structure between different higher-dimensional time series. The author shows a flexible way to estimate and calibrate such higher-dimensional copula models and provides the application of U.S. industrial returns. In his simulation study he shows the sensitivity with respect to the copula parameter and different families using newly developed R-packages.
Seller Inventory # 9783639307061
- Title
- Higher-dimensional copula models and their application : Bayesian inference for D-vine pair-copula constructions based on different bivariate families
- Author
- Jiabao Ma
- Publisher
- VDM Verlag Dr. Müller
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3639307062
- ISBN 13
- 9783639307061
- Item weight
- 277 grams
- Dimensions
- 220x150x12 mm
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