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Könyv Higher-dimensional copula models and their application Jiabao Ma

Higher-dimensional copula models and their application

Szerző: Jiabao Ma
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: VDM Verlag
Elérhetőség: Beszállítói készleten
Küldés 9-15 napon belül
25 937 Ft
Modelling multivariate dependence structures has proven to be an important aspect in the field of fi...

Információk a könyvről

Szerző
Jiabao Ma
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2010
oldal
196
EAN
9783639307061
ISBN
3639307062
Enbook ID
06837649
Kiadó
VDM Verlag
Súly
316
Méretek
153 x 229 x 13

Teljes leírás

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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