Foundations and Trends® in Econometrics
COPULA MODELING
An Introduction for Practitioners
by Pravin K Trivedi (Indiana University, USA) & David M Zimmer (US Federal Trade Commission, USA)
Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation–based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling.
Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties.
Published by Now Publishers and marketed by World Scientific
Contents:
- Introduction
- Copulas and Dependence
- Generating Copulas
- Copula
Estimation
- Conclusions: Appendix
- References
Readership: Graduate students, postgraduates and professionals in finance,
insurance and actuarial science.
| 120pp |
Pub. date: Apr 2007 |
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