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Copula: how to estimate dependence parameters?

Asked by Alessandro Petrella on 26 Oct 2019 at 10:47
Hi, my assignment is to verify the presence of financial contagion between US stock market and some European stock markets during the subprime crisis using copula models. To do this, I have to fit the marginal distributions to my data and then using these distributions to fit the best copulas from some families. I have two questions:
  1. How can I calculate the log-likelihood of every copula family and then the AIC-BIC criteria to choose the best copula?
  2. How can I estimate the dependence parameters of every copula? I use the copulafit function, but it estimates only the Spearman's rho.
This is an example of how I did it. I don't know if it's right or I did it wrong, so I hope someone could help me, would be very grateful! Thanks in advance.

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R2019b

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