The Resource Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik, (electronic resource)

Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik, (electronic resource)

Label
Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
Title
Copula Theory and Its Applications
Title remainder
Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
Statement of responsibility
edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik
Contributor
Editor
Editor
Subject
Language
  • eng
  • eng
Summary
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw
Member of
Is Subseries of
Dewey number
519
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsedt
  • BZnj6987en8
  • V1zWIhuHluE
  • 1jXvnXogX1w
  • NQnC3yMAtDw
Language note
English
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Jaworski, Piotr.
  • Durante, Fabrizio.
  • Härdle, Wolfgang Karl.
  • Rychlik, Tomasz.
Series statement
Lecture Notes in Statistics - Proceedings,
Series volume
198
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Finance
  • Business mathematics
  • Mathematical statistics
  • Statistics
  • Business
  • Probability Theory and Stochastic Processes
  • Finance, general
  • Business Mathematics
  • Statistical Theory and Methods
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Business and Management, general
Label
Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions
Dimensions
unknown
Edition
1st ed. 2010.
Extent
1 online resource (337 p.)
Form of item
online
Isbn
9783642124655
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-642-12465-5
Specific material designation
remote
System control number
  • (CKB)2550000000015810
  • (EBL)602953
  • (OCoLC)663096675
  • (SSID)ssj0000434927
  • (PQKBManifestationID)11311372
  • (PQKBTitleCode)TC0000434927
  • (PQKBWorkID)10403504
  • (PQKB)10298696
  • (DE-He213)978-3-642-12465-5
  • (MiAaPQ)EBC602953
  • (EXLCZ)992550000000015810
Label
Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions
Dimensions
unknown
Edition
1st ed. 2010.
Extent
1 online resource (337 p.)
Form of item
online
Isbn
9783642124655
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-642-12465-5
Specific material designation
remote
System control number
  • (CKB)2550000000015810
  • (EBL)602953
  • (OCoLC)663096675
  • (SSID)ssj0000434927
  • (PQKBManifestationID)11311372
  • (PQKBTitleCode)TC0000434927
  • (PQKBWorkID)10403504
  • (PQKB)10298696
  • (DE-He213)978-3-642-12465-5
  • (MiAaPQ)EBC602953
  • (EXLCZ)992550000000015810

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