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updated 8 days ago

Vine Copulas with Matlab by Malte Kurz

Malte Kurz

A MATLAB toolbox for vine copulas based on the C++ library VineCopulaCPP (toolbox, copulas, vine copulas)

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updated 2 months ago

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (copulas, toolbox, dependence)

ARMAeq(theta, data, spec)

CalcStErrors(MyFunc, theta, data, grad, hessian, spec, so...

CopulaGARCHLogL(theta,data,spec,solver)

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updated 8 months ago

Multivariate Hoeffding's Phi-Squared by Ivan Medovikov

Ivan Medovikov

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

multphi2.m

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updated 8 months ago

Markov_Copula_code.zip by Osvaldo Silva Filho

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 5 years ago

Dynamic Copula Toolbox version 1 by Manthos Vogiatzoglou

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

Ali Mohammad-Djafari

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

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