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Copula toolbox for Matlab
这个压缩文件包含了我为研究金融时间序列的copulas而编写的Matlab函数集合(Patton 2006a, Patton 2006b, Patton 2004, Granger et al. 2006, Patton 2007).
在“copula example code_for.m”中给出了一些简单的示例代码。
数据存放在contents.xls中。
Briefly, the toolbox contains CDFs, PDFs, log-likelihoods and random number generators for many common bivariate copulas, including the Clayton, Gumbel, Normal, Student's t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas. Basic code for time-varying Normal, Gumbel and SJC copulas is included. Some helper fu
2022-12-09
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