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Fellowship & Grant details

Fellowship posted by Italian Ministry of Education, University and Research (10/08/2013 02.38)

The C-convolution model: econometrics and applications to finance

Please note that the job is no longer active!

The research project focuses on an application of copulas to the time series econometrics or, more precisely, on the study of stochastic processes in discrete times with non linear dependence structure. The theoretical tool used is the C-convolution, an operator that allows to obtain the distribution of the sum of two random variables from their marginal distributions and the copula representing their dependence. From the statistical point of view possible extensions of autoregressive models end of the concept of cointegration will be analyzed. From the financial point of view many related problems will be studied as the analysis of managed portfolios and applications to actuarial and credit risk.

Please note that the full description may be available in the national language since some job boards have their own publication policy. Thank you for your understanding!

Research Fields

Economics - Financial science
Mathematics - Statistics

Eligibility criteria

to apply for research grants fill out the form available at the following address: https://www.aric.unibo.it/AssegniRicerca/BandiPubblicati/zz_Bandi_din.aspx


Programme Description
Eligible destination country/ies for fellowsItaly
Eligibility of fellows: country/ies of residenceAll
Eligibility of fellows: nationality/iesAll
Website of Fellowship Programmehttps://www.aric.unibo.it/AssegniRicerca/BandiPubblicati/zz_Bandi_din.aspx
Fellowship's Details
Career StageEarly stage researcher or 0-4 yrs (Post graduate)
Research ProfileNot defined
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Application deadline

12/09/2013

Other fellowship details
Fellowship ID

59004

Funding organisation / Contacts
ALMA MATER STUDIORUM - UNIVERSITA' DI BOLOGNA - - DIPARTIMENTO DI SCIENZE STATISTICHE "PAOLO FORTUNATI"

Public research
Bologna - Italy
www.unibo.it
E-mails
dipstat.segreteria@unibo.it

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