Abstract
Brendan K. Beare of the University of California, San Diego reviews “Convolution Copula Econometrics,” by Umberto Cherubini, Fabio Gobbi, and Sabrina Mulinacci. The Econlit abstract of this book begins: “Gathers the main concepts of copula function theory and applies them to the analysis of time series, addressing the relationship between copula functions and Markov processes. Discusses the dynamics of economic variables; the estimation of copula models; copulas and estimation of Markov processes; convolution-based processes; and application to interest rates. Cherubini, Gobbi, and Mulinacci are at the University of Bologna. ”
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