Authors:
- Provides ideas for further research in the field of time series analysis and copula functions
- Presents an authoritative contribution on long memory features of macroeconomic and financial time series
- Explores the use of convolution-based econometric tools for forecasting Markov processes
- Features applications of the convolution-based technology such as tests of market efficiency
Part of the book series: SpringerBriefs in Statistics (BRIEFSSTATIST)
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Table of contents (5 chapters)
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Front Matter
About this book
Reviews
Authors and Affiliations
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University of Bologna, Bologna, Italy
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
About the authors
Umberto Cherubini is Associate professor of Financial Mathematics at the University of Bologna, where he heads the graduate program in Quantitative Finance. He is fellow of the Financial Econometrics Research Center (FERC), a member of the Scientific Committees of Abiformazione – the professional education arm of the Italian Banking Association, and AIFIRM – the Italian Association of Financial Risk Managers. He has been consulting and teaching in the field of finance and risk management for almost twenty years. Before joining academia he worked as an economist at the Economic Research Department of BCI Milan. He has published papers on finance and economics in international journals, and is a co-author of seven books on topics of risk management and financial mathematics, with special focus on the copula function technique.
Fabio Gobbi is a post-doctoral researcher at the University of Bologna. He has a PhD in Statistics from the University of Florence and his area of research focuses on probability and financial econometrics. He is a co-author (with Umberto Cherubini and Sabrina Mulinacci) of the recent book Dynamic Copula Methods in Finance, the first book to introduce the theory of convolution-based copulas and the concept of C-convolution within the mainstream of the Darsow, Nguyen and Olsen (DNO) application of copulas to Markov processes.
Sabrina Mulinacci is Associate Professor of Mathematical Methods for Economics and Finance at the University of Bologna. Prior to this, Sabrina was Associate Professor of Mathematical Methods for Economics and Actuarial Sciences at the Catholic University of Milan. She has a PhD in Mathematics from the University of Pisa and has published a number of research papers in international journals on probability and mathematical finance.
Bibliographic Information
Book Title: Convolution Copula Econometrics
Authors: Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Series Title: SpringerBriefs in Statistics
DOI: https://doi.org/10.1007/978-3-319-48015-2
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2016
Softcover ISBN: 978-3-319-48014-5Published: 16 December 2016
eBook ISBN: 978-3-319-48015-2Published: 01 December 2016
Series ISSN: 2191-544X
Series E-ISSN: 2191-5458
Edition Number: 1
Number of Pages: X, 90
Number of Illustrations: 1 b/w illustrations, 30 illustrations in colour
Topics: Statistics for Business, Management, Economics, Finance, Insurance, Probability Theory and Stochastic Processes, Econometrics, Statistical Theory and Methods, Applications of Mathematics