Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association

Language: English

Published by Josef Eul Verlag Gmbh Jan 2012, 2012

3844101209 / 9783844101201

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -Putting a particular emphasis on nonparametric methods that rely on modern empirical process techniques, the author contributes to the theory of static and time-varying stochastic models for multivariate association based on the concept of copulas. These functions enable a profound understanding of multivariate association, which is pivotal for judging whether a large set of risky assets entails diversification effects or aggravates risk from an entrepreneurial point of view. Since serial dependence is a stylized fact of financial time series, an asymptotic theory for estimating the structure of association in this context is developed under weak assumptions. A new measure of multivariate association, based on a notion of distance to stochastic independence, is introduced. Asymptotic results as well as hypothesis tests are established which are directly applicable to important types of multivariate financial time series. To ensure that risk management properly captures the current structure of association, it is crucial to assess the constancy of the structure. Therefore, nonparametric tests for a constant copula with either a specified or unspecified change point (candidate) are derived. The thesis concludes with a study of characterizations of association between non-continuous random variables. 176 pp. Englisch.…

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Title
Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association
Author
Martin Ruppert
Publisher
Josef Eul Verlag Gmbh Jan 2012
Publication year
2012
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3844101209
ISBN 13
9783844101201
Item weight
264 grams
Dimensions
210x148x12 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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BuchWeltWeit Ludwig Meier e.K.

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