A convolution-based approach to model non linear dependence in time series is introduced and analyzed. The model is applied to the analysis of the dynamics of the short-term interest rate.
Cherubini Umberto, Fabio Gobbi, Mulinacci Sabrina (2016). Convolution Copula Econometrics. Cham : Springer [10.1007/978-3-319-48015-2].
Convolution Copula Econometrics
CHERUBINI, UMBERTO;GOBBI, FABIO;MULINACCI, SABRINA
2016
Abstract
A convolution-based approach to model non linear dependence in time series is introduced and analyzed. The model is applied to the analysis of the dynamics of the short-term interest rate.File in questo prodotto:
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