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Kniha Higher-dimensional copula models and their application Jiabao Ma

Higher-dimensional copula models and their application

Autor: Jiabao Ma
Jazyk: Angličtina
Vazba: Brožovaná
Vydavatel: VDM Verlag
Dostupnost: Skladem u dodavatele
Odesíláme za 9-15 dnů
1 583 Kč
Modelling multivariate dependence structures has proven to be an important aspect in the field of fi...

Informace o knize

Autor
Jiabao Ma
Jazyk
Angličtina
Vazba
Kniha - Brožovaná
Vydáno
2010
Stránek
196
EAN
9783639307061
ISBN
3639307062
Enbook ID
06837649
Vydavatel
VDM Verlag
Hmotnost
316
Rozměry
153 x 229 x 13

Kompletní popis

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.

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