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Estimation of Structured t-Copulas

by Attilio Meucci

 

28 Apr 2008 (Updated 10 Apr 2009)

Code covered by BSD License  

Simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of

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Description

For a detailed description please refer to A.Meucci (2008) "Estimation of Structured t-Copulas", available here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1126401

Required Products Statistics Toolbox
MATLAB release MATLAB 7.3 (R2006b)
Zip File Content  
Other Files StructuredTCopulaMLE/DB_SwapParRates.mat,
StructuredTCopulaMLE/LogLik.m,
StructuredTCopulaMLE/MleRecursionForT.m,
StructuredTCopulaMLE/S_ReadMe.m,
StructuredTCopulaMLE/SeparateMargCop.m,
StructuredTCopulaMLE/StrucTMLE.m
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Updates
10 Apr 2009

updated documentation link

Tag Activity for this File
Tag Applied By Date/Time
finance Attilio Meucci 22 Oct 2008 09:59:30
modeling Attilio Meucci 22 Oct 2008 09:59:30
analysis Attilio Meucci 22 Oct 2008 09:59:30
isotropy Attilio Meucci 22 Oct 2008 09:59:30
shrinkage Attilio Meucci 22 Oct 2008 09:59:30
structured correlation Attilio Meucci 22 Oct 2008 09:59:30
estimationmaximization Attilio Meucci 22 Oct 2008 09:59:30
 

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