TY  - BOOK
AU  - Jaworski,Piotr
AU  - Durante,Fabrizio
AU  - H�rdle,Wolfgang Karl
AU  - Rychlik,Tomasz
ED  - SpringerLink (Online service)
TI  - Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 
T2  - Lecture Notes in Statistics,
SN  - 9783642124655
AV  - QA273.A1-274.9 
U1  - 519.2 23
PY  - 2010///
CY  - Berlin, Heidelberg
PB  - Springer Berlin Heidelberg
KW  - Mathematics
KW  - Business
KW  - Management science
KW  - Business mathematics
KW  - Finance
KW  - Probabilities
KW  - Statistics
KW  - Probability Theory and Stochastic Processes
KW  - Finance, general
KW  - Business Mathematics
KW  - Statistical Theory and Methods
KW  - Statistics for Business/Economics/Mathematical Finance/Insurance
KW  - Business and Management, general
N1  - Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions
N2  - Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw
UR  - http://dx.doi.org/10.1007/978-3-642-12465-5
ER  -