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Jaworski, Piotr

Copula Theory and Its Applications

Jaworski, Piotr - Copula Theory and Its Applications, ebook

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ISBN: 9783642124655
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Table of contents

1. Copula Theory: An Introduction
Fabrizio Durante, Carlo Sempi

2. Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski

3. Copula Estimation
Barbara Choroś, Rustam Ibragimov, Elena Permiakova

4. Pair-Copula Constructions of Multivariate Copulas
Claudia Czado

5. Risk Aggregation
Paul Embrechts, Giovanni Puccetti

6. Extreme-Value Copulas
Gordon Gudendorf, Johan Segers

7. Construction and Sampling of Nested Archimedean Copulas
Marius Hofert

8. Tail Behaviour of Copulas
Piotr Jaworski

9. Copulae in Reliability Theory (Order Statistics, Coherent Systems)
Tomasz Rychlik

10. Copula-Based Measures of Multivariate Association
Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer, Martin Ruppert

11. Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing
Fabio Spizzichino

12. A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli

13. Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data
Arturo Erdely, Martin Diaz-Viera

14. Testing Under the Extended Koziol-Green Model
Auguste Gaddah, Roel Braekers

15. Parameter Estimation and Application of the Multivariate Skew t-Copula
Tõnu Kollo, Gaida Pettere

16. On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas
Jan-Frederik Mai, Matthias Scherer

17. Relationships Between Archimedean Copulas and Morgenstern Utility Functions
Jaap Spreeuw

Keywords: Statistics, Statistical Theory and Methods, Statistics for Business/Economics/Mathematical Finance/Insurance, Probability Theory and Stochastic Processes, Finance /Banking, Business/Management Science, general

Author(s)
 
 
 
Publisher
Springer
Publication year
2010
Language
en
Edition
1
Series
Lecture Notes in Statistics
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642124655

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