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

作者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
出版商: Berlin ; New York : Springer, ©2013.
叢書: Lecture notes in statistics (Springer-Verlag), 213.
版本/格式:   電子書 : 文獻 : 會議刊物 : 英語所有版本和格式的總覽
資料庫:WorldCat
提要:

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  再讀一些...

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類型/形式: Electronic books
Congresses
資料類型: 會議刊物, 文獻, 網際網路資源
文件類型: 網路資源, 電腦資料
所有的作者/貢獻者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076
OCLC系統控制編碼: 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.
叢書名: Lecture notes in statistics (Springer-Verlag), 213.
責任: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
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