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Estimation of Structured t-Copulas

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Estimation of Structured t-Copulas

by

Attilio Meucci (view profile)

 

28 Apr 2008 (Updated )

Recursive routine to estimate structured correlation matrix and degrees of freedom

StructuredTCopulaMLE.zip
license.txt
StructuredTCopulaMLE/DB_SwapParRates.mat
StructuredTCopulaMLE/LogLik.m
StructuredTCopulaMLE/MleRecursionForT.m
StructuredTCopulaMLE/SeparateMargCop.m
StructuredTCopulaMLE/StrucTMLE.m
StructuredTCopulaMLE/S_ReadMe.m

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