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Copulae in mathematical and quantitative finance : proceedings of the Workshop Held in Cracow, 10-11 July 2012

著者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
出版商: Berlin ; New York : Springer, ©2013.
丛书: Lecture notes in statistics (Springer-Verlag), 213.
版本/格式:   电子图书 : 文献 : 会议刊物 : 英语查看所有的版本和格式
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Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. This book includes  再读一些...

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类型/形式: Electronic books
Congresses
材料类型: 会议刊物, 文献, 互联网资源
文件类型: 互联网资源, 计算机文档
所有的著者/提供者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076
OCLC号码: 851442803
注意: International conference proceedings.
Includes index.
描述: 1 online resource.
内容: A Convolution-Based Autoregressive Process / Umberto Cherubini, Fabio Gobbi --
Selection of Vine Copulas / Claudia Czado, Eike Christian Brechmann --
Copulas in Machine Learning / Gal Elidan --
An Overview of the Goodness-of-Fit Test Problem for Copulas / Jean-David Fermanian --
Assessing and Modeling Asymmetry in Bivariate Continuous Data / Christian Genest, Johanna G. Nešlehová --
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series / Nikolaus Hautsch, Ostap Okhrin --
The Limiting Properties of Copulas Under Univariate Conditioning / Piotr Jaworski --
Singular Mixture Copulas / Dominic Lauterbach, Dietmar Pfeifer --
Toward a Copula Theory for Multivariate Regular Variation / Haijun Li --
CIID Frailty Models and Implied Copulas / Jan-Frederik Mai, Matthias Scherer --
Copula-Based Models for Multivariate Discrete Response Data / Aristidis K. Nikoloulopoulos --
Vector Generalized Linear Models: A Gaussian Copula Approach / Peter X.-K. Song, Mingyao Li --
Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives / Bertrand Tavin.
丛书名: Lecture notes in statistics (Springer-Verlag), 213.
责任: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
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