[图书][B] Dynamic copula methods in finance
The latest tools and techniques for pricing and risk management This book introduces
readers to the use of copula functions to represent the dynamics of financial assets and risk …
readers to the use of copula functions to represent the dynamics of financial assets and risk …
of Seminonparametric Dynamic Models: A Selective Review
X Chen - Advances in Economics and Econometrics: Volume 3 …, 2013 - books.google.com
In this chapter, we review recent developments in large-sample theory for estimation of and
inference on seminonparametric time—series models via the method of penalized sieves …
inference on seminonparametric time—series models via the method of penalized sieves …
[图书][B] Counting statistics for dependent random events: with a focus on finance
E Bernardi, S Romagnoli - 2021 - Springer
This book on counting statistics presents a novel copula-based approach to counting
dependent random events. It combines clustering, combinatorics-based algorithms and …
dependent random events. It combines clustering, combinatorics-based algorithms and …
Counting Statistics for Dependent Random Events
E Bernardi, S Romagnoli - Springer
This book presents a conclusive synthesis of a number of years of original research carried
out at the University of Bologna into some probabilistic problems involving the interaction of …
out at the University of Bologna into some probabilistic problems involving the interaction of …
[PDF][PDF] Copula Models and Speculative Price Dynamics
U Cherubini - Citeseer
• Copula functions are linked to non-parametric dependence statistics, as in example
Kendall's τ or Spearman's ρ S• Notice that differently from non-parametric estimators, the …
Kendall's τ or Spearman's ρ S• Notice that differently from non-parametric estimators, the …