Jaworski, Piotr
Copula Theory and Its Applications
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
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)
- Jaworski, Piotr
- Durante, Fabrizio
- Härdle, Wolfgang Karl
- Rychlik, Tomasz
- Publisher
- Springer
- Publication year
- 2010
- Language
- en
- Edition
- 1
- Series
- Lecture Notes in Statistics
- Page amount
- 18 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783642124655