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Copula Modeling: An Introduction for Practitioners
Company: World Scientific
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: April
Resource Link: Click here to open
Pages: 128
Download Count: 37
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 7-1-2007
Publisher: Administrator
Summary
Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling.
This document may be available without charge from uchicago.edu at the following link:
http://bit.ly/YD9Vtu (2013-02-06)
Author(s)
Trivedi, Pravin K. Sign in to follow this author
Zimmer, David M. Sign in to follow this author
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