Mohlo by sa vám tiež páčiť

Viac informácií o knihe Higher-dimensional copula models and their application

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

Nákupom získate 163 bodov

Anotácia knihy

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.

Parametre knihy

Zaradenie knihy Knihy po anglicky Mathematics & science Mathematics Probability & statistics

• Celý názov: Higher-dimensional copula models and their application
• Autor: Jiabao Ma
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 196
• EAN: 9783639307061
• ISBN: 3639307062
• ID: 06837649
• Nakladateľ: VDM Verlag
• Hmotnosť: 316 g
• Rozmery: 229 × 153 × 13 mm
• Dátum vydania: 03. November 2010

Obľúbené z iného súdka

---

---

---