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Dependence Modeling: Vine Copula Handbook
Hardcover
Investing & FinanceTechnology & EngineeringProbability & Statistics
ISBN13: 9789814299879
Publisher: World Scientific Publishing Company
Published: Apr 15 2011
Pages: 368
Weight: 1.70
Height: 1.00 Width: 6.60 Depth: 9.70
Language: English
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.
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