文件名称：Copula toolbox for Matlab
文件大小：74KB
文件格式：ZIP
更新时间：2022-12-09 10:50:03
Copula matlabcode SJC)copulas
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
【文件预览】：
empiricalCDF.m
Gumbel_rnd.m
plackett_rnd.m
bb7_rnd.m
tCopula_cdf.m
contents.xls
clayton_rnd.m
sym_jc_tvp_CL.m
BB7UgivenV_inverse2.m
GumbelUgivenV_t.m
PlackettUgivenV_inverse2.m
PlackettUgivenV_t.m
bivnormpdf.m
sym_jc_CL.m
cov12.m
NormalCopula_pdf.m
copula_example_code_for.m
bivartpdf.m
plackettCL.m
clayton_cdf.m
bivarnormcdf.m
GumbelUgivenV_inverse2.m
bivartcdfmc.m
sym_jc_pdf.m
tau2kappa.m
gumbelCL.m
frankCL.m
bisect2.m
tCopula.m
plackett_pdf.m
sym_jc_rnd.m
sym_jc_example_code.m
sym_jc_cdf.m
corrcoef12.m
NormalCopula_CL.m
bivnorm_tvp1_CL.m
theta2rho.m
NormalCopula_cdf.m
kappa2tau.m
claytonCL.m
ang_chen1.m
bivarnormcdf2.m
bivartLL.m
gumbel_pdf.m
bivarnormcdf_arg.m
tcopula_pdf.m
rho2theta.m
nines.m
tcopulaCL.m
quantiledep.m
Gumbel_tvp1_CL.m
gumbel_cdf.m
contour_plots_code.m
readme.txt
clayton_pdf.m
plackett_cdf.m
ibm_ccola_rets.txt
BB7UgivenV_t.m