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Estimation of Structured t-Copulas

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Estimation of Structured t-Copulas

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28 Apr 2008 (Updated )

Recursive routine to estimate structured correlation matrix and degrees of freedom

S_ReadMe.m
clear; close all; clc;
% this script illustrates the recursive computation of the ML estimators 
% of correlation matrix and the d.o.g. of a t copula with isotropic structure
% see A. Meucci (2008) "Estimation of Structured T-Copulas"
% available at www.symmys.com > Research > Working Papers


load DB_SwapParRates
X=Rates(2:end,:)-Rates(1:end-1,:);

% only first three eigendirections significant, the remaining dimensions isotropic
K=3; 

Tolerance=10^(-10);
[Nu,C]=StrucTMLE(X,K,Tolerance);

bar(eig(C))

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