---

＜電子ブック＞
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
(Lecture Notes in Statistics - Proceedings ; 198)

版	1st ed. 2010.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2010
大きさ	XVIII, 327 p. 25 illus : online resource
著者標目	Jaworski, Piotr editor Durante, Fabrizio editor Härdle, Wolfgang Karl editor Rychlik, Tomasz editor SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Finance LCSH:Business mathematics LCSH:Statistics  LCSH:Business LCSH:Management science FREE:Probability Theory FREE:Financial Economics FREE:Business Mathematics FREE:Statistical Theory and Methods FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Business and Management
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-3-642-12465-5

 類似資料