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updated 5 months ago

Tests On Simplified Vine Copulas (TOSVC) by Malte Kurz

A MATLAB toolbox for testing on simplified vine copulas (copulas, vine copulas, paircopula constructi...)

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updated 5 months ago

Multivariate Hoeffding's Phi-Squared by Ivan Medovikov

Nonparametric measure of multivariate association. (nonlinear, copulas, nonparametric)

multphi2.m

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updated 5 months ago

Markov_Copula_code.zip by Osvaldo Silva Filho

Markov Switching Copula Model (markov switching, copulas, dependence dynamics)

Clayton_tvp1_CL(theta,data,kappabar)

bivt_tvp1_CL(theta,Zdata,rhobar)

markovclayton_LLF(kappa,data,thetabar)

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updated almost 4 years ago

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (dependence, garch, copula vines)

ARMAeq(theta, data, spec)

CopulaGARCHLogL(theta,data,spec,solver)

CopulaToolboxTutorial

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updated 5 years ago

Dynamic Copula Toolbox version 1 by Manthos Vogiatzoglou

Estimation and simulation of Copula - GARCH and Copula Vines (copulas, vines, dynamic dependence)

CompositeLLNCopula(theta,data,corrspec,optimizer,method)

CompositeLLTCopula(theta,data,corrspec,optimizer,method)

LTriangmat2vec=vecl(x)

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updated 6 years ago

Copulas densities by Ali Mohammad-Djafari

This program shows copulas densities (statistics, probability, copulas)

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