
Dependence Modeling: Vine Copula Handbook
VINE COPULA HANDBK
World Scientific Publishing Co Pte Ltd
Published on 27. December 2010
Book
Hardback
368 pages
978-981-4299-87-9 (ISBN)
Description
This book is a collaborative effort from three workshops held over the last three years, all involving principal contributors to the vine-copula methodology. Research and applications in vines have been growing rapidly and there is now a growing need to collate basic results, and standardize terminology and methods. Specifically, this handbook will (1) trace historical developments, standardizing notation and terminology, (2) summarize results on bivariate copulae, (3) summarize results for regular vines, and (4) give an overview of its applications. In addition, many of these results are new and not readily available in any existing journals. New research directions are also discussed.
More details
Language
English
Place of publication
Singapore
Singapore
Target group
College/higher education
Professional and scholarly
Students, researchers and professionals in probability, statistics, finance and engineering.
Dimensions
Height: 250 mm
Width: 175 mm
Thickness: 24 mm
Weight
817 gr
ISBN-13
978-981-4299-87-9 (9789814299879)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Editor
Delft Univ Of Tech, The Netherlands
Univ Of British Columbia, Canada
Content
Introduction; Multivariate Copulae; Vine Copulae; Sampling Count Variables; Micro Correlations and Tail Dependence; Copula Information Criterion; Dependence Comparisons of Vine Copulae; Tail Dependence in Vine Copulae; Counting Vines; Optimal Truncation of Vines; Non-Parametric BBNs vs. Vines; Joint Bayesian Inference of D-Vines with AR(1) Margins; Modeling Dependence Between Financial Returns Using PCC; Dynamic D-Vine Model; Regular Vines: Generation Algorithm and Number of Equivalent Classes;