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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
Väzba: Brožovaná
Vydavateľ: VDM Verlag
Dostupnosť: Skladom u dodávateľa
Odosielame za 9-15 dní
65.44 €
Modelling multivariate dependence structures has proven to be an important aspect in the field of fi...

Informácie o knihe

Autor
Jiabao Ma
Jazyk
Angličtina
Väzba
Kniha - Brožovaná
Vydalo
2010
Stránok
196
EAN
9783639307061
ISBN
3639307062
Enbook ID
06837649
Vydavateľ
VDM Verlag
Hmotnosť
316
Rozmery
153 x 229 x 13

Kompletný 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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