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Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012

Author: Piotr Jaworski; Fabrizio Durante; Wolfgang Karl Härdle
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Series: Lecture Notes in Statistics, 213.
Edition/Format:   Print book : Document   Computer File : EnglishView all editions and formats
Database:WorldCat
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Genre/Form: Statistics
Additional Physical Format: Printed edition:
Copulae in Mathematical and Quantitative Finance
Material Type: Document
Document Type: Book, Computer File
All Authors / Contributors: Piotr Jaworski; Fabrizio Durante; Wolfgang Karl Härdle
ISBN: 9783642354076 3642354076
OCLC Number: 940530549
Description: 1 online resource (XII, 294 p. 38 illus., 24 illus. in color.)
Contents: A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi --
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber --
Copulas in Machine Learning by Gal Elidan --
An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian --
Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová --
Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig --
The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski --
Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer --
Toward a Copula Theory for Multivariate Regular Variation by Haijun Li --
CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst --
Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos --
Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X --
K. Song, Mingyao Li and Peng Zhang --
APPENDIX A: Gaussian-Hermite Quadrature --
APPENDIX B: AREs of GEE and VGLM for binary --
Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin.
Series Title: Lecture Notes in Statistics, 213.
Responsibility: edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle.
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