Heavy Tails and Copulas
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Book Overview This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance...
This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails -- two particularly valuable tools of today's research in economics, finance, econometrics and other fields -- in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions -- all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.
Book Details Format: Hardcover | Pages: 284 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9814689793
FormatHardcover
Pages284
LanguageEnglish
ISBN9814689793
EAN9789814689793
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date2017-03-03
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight1.27 Pounds
Length9.0 Inches
Width6.0 Inches
Height0.69 Inches
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