Great reasons to buy from us:
-
30-Day Money-Back Guarantee
Changed your mind? Ordered the wrong thing? Simply return your item for a prompt exchange or refund. -
Free Shipping Over $70
Enjoy free shipping when you spend over $70 -
Secure Checkout
SSL Protected Checkout & Strongly Secure for Payments -
Fast Handling
Every order is a priority to us. We handle your order quickly to ensure you get your product fast.
by Marius Fredheim (Author)
Copulas provide us with a tool for constructing multivariate distri-butions with arbitrary marginal distributions and a wide range of dependence structures. The aim of this book is to describe what the practitioner, or scientist, needs to know about copulas. Although the emphasis is on financial applications, the general theory is relevant for any multivariate setting. The outline of the book is as follows. Chapter 2 is a discussion of multivariate distribution functions that are useful for financial data. In chapter 3 we proceed with a discussion of commonly used depen-dence measures, and we highlight deficiencies of the correlation coefficient. We start chapter 4 by describing the properties a general function must satisfy in order to be a copula, and goes on by des-cribing the properties of the most common copulas. In chapter 5 we discuss the problem of estimating the parameters in a copula, and in chapter 6 we review the recent goodness-of-fit procedures suggested in the literature. Chapter 7 is a short review of some of the main applications of copulas in relation to credit risk models.
| Shipping | This item ships to |
| Delivery | Estimated between and . Will usually ship within 1 business day. |
Description
by Marius Fredheim (Author)
Copulas provide us with a tool for constructing multivariate distri-butions with arbitrary marginal distributions and a wide range of dependence structures. The aim of this book is to describe what the practitioner, or scientist, needs to know about copulas. Although the emphasis is on financial applications, the general theory is relevant for any multivariate setting. The outline of the book is as follows. Chapter 2 is a discussion of multivariate distribution functions that are useful for financial data. In chapter 3 we proceed with a discussion of commonly used depen-dence measures, and we highlight deficiencies of the correlation coefficient. We start chapter 4 by describing the properties a general function must satisfy in order to be a copula, and goes on by des-cribing the properties of the most common copulas. In chapter 5 we discuss the problem of estimating the parameters in a copula, and in chapter 6 we review the recent goodness-of-fit procedures suggested in the literature. Chapter 7 is a short review of some of the main applications of copulas in relation to credit risk models.
Shipping
| Shipping | This item ships to |
| Delivery | Estimated between and . Will usually ship within 1 business day. |
