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Estimation of Structured t-Copulas

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Estimation of Structured t-Copulas

by Attilio Meucci

 

28 Apr 2008 (Updated 09 May 2011)

Recursive routine to estimate structured correlation matrix and degrees of freedom

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Description

For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"

Latest version of article and code available at http://symmys.com/node/134

Required Products Statistics Toolbox
MATLAB release MATLAB 7.3 (R2006b)
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Updates
10 Apr 2009

updated documentation link
09 May 2011

updated references
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
estimationmaximization Attilio Meucci 22 Oct 2008 09:59:30
structured correlation Attilio Meucci 22 Oct 2008 09:59:30
portfolio management Attilio Meucci 10 May 2011 16:07:32
quantitative finance Attilio Meucci 10 May 2011 16:07:32
risk management Attilio Meucci 10 May 2011 16:07:32
statistics Attilio Meucci 10 May 2011 16:07:32

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