Copula Modeling: An Introduction for Practitioners

Front Cover
Now Publishers Inc, 2007 - Business & Economics - 115 pages
1 Review
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. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties
  

What people are saying - Write a review

We haven't found any reviews in the usual places.

Selected pages

Contents

Copulas and Dependence
7
22 Copula Functions
9
23 Some Common Bivariate Copulas
14
24 Measuring Dependence
19
25 Visual Illustration of Dependence
27
Generating Copulas
33
31 Method of Inversion
34
32 Algebraic Methods
36
41 Copula Likelihoods
56
42 TwoStep Sequential Likelihood Maximization
59
43 Copula Evaluation and Selection
63
44 Monte Carlo Illustrations
68
45 Empirical Applications
74
46 Causal Modeling and Latent Factors
90
Conclusion
99
References
101

33 Mixtures and Convex Sums
37
34 Archimedean copulas
42
35 Extensions of Bivariate Copulas
45
Copula Estimation
55
Copulas and Random Number Generation
111
A1 Selected Illustrations
112
Copyright

Common terms and phrases

References to this book

About the author (2007)

Pravin K. Trivedi is Distinguished Professor and J. H. Rudy Professor of Economics at Indiana University, Bloomington. His research and teaching interests are in microeconometrics and health economics. He served as co-editor of the Econometrics Journal from 2000 to 2007 and has been on the board of Journal of Applied Econometrics since 1988. He is coauthor (with A. Colin Cameron) of the first edition of Regression Analysis of Count Data (Cambridge University Press, 1998) and of Microeconometrics: Methods and Applications (Cambridge University Press, 2005).

Bibliographic information