Convolution Copula Econometrics

Convolution Copula Econometrics offers an innovative perspective on time series econometrics by examining the behavior of nonlinear stochastic processes. This approach allows for any dependency structure in the increments and represents a generalization of the classical assumption of independent increments. The book discusses a semiparametric concept known as C-convolution and the associated theory of convolution-based copulas. It is aimed at researchers in econometrics and statistics who have a particular interest in time series analysis and copula functions. Additionally, it is also suitable for doctoral students who have a basic understanding of copula functions and wish to learn about the latest developments in this research area.