Copula

Package ‘copula’

Package ‘copula’ January 2, 2012 Version 0.9-9 Date 2011-12-01 Title Multivariate dependence with copulas Author Jun Yan <[email protected]> and Ivan Kojadinovic <[email protected]>

cran.r-project.org

Enjoy the Joy of Copulas: With a Package Copula

JSS Journal of Statistical Software October 2007, Volume 21, Issue 4. http://www.jstatsoft.org/ Enjoy the Joyof Copulas: Witha Package copula Jun Yan University of Connecticut Abstract Copulas have becomeapopular tool in multivariate modeling successfully applied in many fields.

www.jstatsoft.org

The t Copula and Related Copulas

The t Copula and Related Copulas Stefano Demarta & Alexander J. McNeil Department of Mathematics Federal Institute of Technology ETH Zentrum CH-8092 Zurich

www.math.ethz.ch

Copula Concepts in Financial Markets

Copula Concepts in Financial Markets Svetlozar T. Rachev, University of Karlsruhe, KIT & University of Santa Barbara & FinAnalytica* Michael Stein, University of Karlsruhe, KIT** Wei Sun, University of Karlsruhe, KIT*** * Prof. Svetlozar T. Rachev (Corresponding Author): Chair of Econometrics ...

statistik.ets.kit.edu

Copula-Based Models for Financial Time Series1

Copula-Based Models for Financial Time Series 1 First version: 31 August 2006. This version: 19 November 2007. AndrewJ. Patton Department of Economics and Oxford-Man Institute of Quantitative Finance, Univer-sityofOxford, Manor Road, Oxford OX13UQ, United Kingdom. [email protected] ...

econ.duke.edu

What are the Most Important Copulas in Finance? International ...

Wolff [1981]).) Copula = dependence function of random variables. What are the most important copulas in finance? Properties of 2-Copulas 2-3

thierry-roncalli.com

Which Archimedean Copula is the right one?

Which Archimedean Copula is the right one? CPA Mario R. Melchiori 1 Universidad Nacional del Litoral Santa Fe - Argentina Third Version September 2003 Published in the YieldCurve.com e-Journal ( www.YieldCurve.com ), October 2003 1 BICA Coop. E.M.Ltda. 25 de Mayo 1774 - Santo tomé -SANTA FE ...

www.riskglossary.com

Estimating VaR using Copula.

-2-Introduction: A copula is a function which relates a multivariate distributional function to a lower dimensional marginal distributional function, generally a one-dimensional function.

math.arizona.edu

Procedure for Simulation with Constructed Copulas

A PROCEDURE FOR SIMULATION WITH CONSTRUCTED COPULAS DONALDF. BEHAN AND SAMUEL H. COX A BSTRACT . We describe a simple way to constructa bivariate copula with spec-ifiedmarginals and partially specified dependence.

www.soa.org

Copula Models of Joint Survival Analysis

Copula Models of Joint Survival Analysis ArkadyE. Shemyakin y and Heekyung Youn z Keywords: copula function, survival analysis joint survival function, Weibulldis-tribution, stable (Gumbel-Hougaard) copula, Bayesian estimation, Metropolis-Hastings algorithm.

cam.mathlab.stthomas.edu

Other sites you could try:

Find videos related to Copula