Convolution Copula Econometrics - Umberto Cherubini,Fabio Gobbi,Sabrina Mulinacci
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This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric app ... Full description
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Description
More Information
| Author | Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci |
|---|---|
| Publisher | Springer International Publishing |
| Release year | 2016 |
| Cover type | Softcover |
| EAN | 9783319480145 |