Springer Modeling Dependence in Econometrics: 251 (Advances in Intelligent Systems and Computing, 251)

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linearfunctions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications ofthese techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques andtake into account, e.g., the dynamical (changing) character of the dependence in economics. From the Back Cover In economics, many quantities are related to each other. Sucheconomic relations are often much more complex than relations inscience and engineering, where some quantities are independence,and the relation between others can be well approximated by linearfunctions. As a result of this complexity, when we applytraditional statistical techniques -- developed for science andengineering -- to process economic data, the inadequate treatmentof dependence leads to misleading models and erroneous predictions.Some economists even blamed such inadequate treatment of dependencefor the 2008 financial crisis. To make economic models more adequate, we need more accuratetechniques for describing dependence. Such techniques are currentlybeing developed. This book contains description of state-of-the-arttechniques for modeling dependence, and economic applications ofthese techniques. Most of these research developments are centeredaround the notion of a copula -- a general way of describingdependence in probability theory and statistics. To be even moreadequate, many papers go beyond traditional copula techniques andtake into account, e.g., the dynamical (changing) character of thedependence in economics.