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Description: code to price a n-to-default basket CDS. It takes as input hazard rate coefficients and uses T-copula model to calculate fair rate of CDS
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Size: 2048 |
Author: rajesh |
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Description: t-copula 小程序，很是实用哦-t-copula small programs, it is practical Oh. . . . .
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Size: 2048 |
Author: qq |
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Description: ClaytonRND Random matrix from a Clayton n-copula.Build and share code simulating Clayton n-copula n>2 indeed it possible to extend letting alpha be a vector of size n, each entry >0 but could be different.
U = ClAYTONRND(ALPHA, N, M) returns N random vectors with size Mx1 (U is a MxN matrix) generated from a Clayton N-Copula with parameters alpha>0-ClaytonRND Random matrix from a Clayton n-copula.Build and share code simulating Clayton n-copula n>2 indeed it possible to extend letting alpha be a vector of size n, each entry >0 but could be different.
U = ClAYTONRND(ALPHA, N, M) returns N random vectors with size Mx1 (U is a MxN matrix) generated from a Clayton N-Copula with parameters alpha>0
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Size: 1024 |
Author: qq |
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Description: The toolbox contains functions to estimate and simulate multivariate copula GARCH models and Copula Vines.
Supported copulas are the Gaussian and the T Copula. For the dynamic correlations, various specifications are supported.
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Size: 81920 |
Author: qq |
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Description: t-coupala 拟合 在matlab中使用的m文件-t-copula fit
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Size: 2048 |
Author: yishions |
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Description: t-coupla求相关系数，包括正态分布，t分布，和其他copula函数的基本代码-t-copula，mainly used in t copula corrention
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Size: 11264 |
Author: 王磊 |
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Description: 结构化t copula函数的极大似然估计
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Size: 61440 |
Author: young |
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Description: 使用Matlab软件计算Normal Copula,Student t Copula,Clayton Copula,Gumbel Copula的程序-Calculated Normal Copula, Student t Copula, Clayton Copula, Gumbel Copula using Matlab software
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Size: 1024 |
Author: 李爽 |
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Description: 正态copula以及t-copula模型的程序，图像处理-Normal copula and t-copula model program, image processing
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Size: 2048 |
Author: minping |
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Description: 对copula－t模型参数的估计,基于matlab程序-the estimation of copula-t,based on matlab
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Size: 4096 |
Author: fanny |
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Description: T-copula的蒙特卡罗模拟过程可以测算数据间的相依关系-T- copulas connect process of monte carlo simulation to measure the dependency relationship between the data
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Size: 1024 |
Author: 陈小龙 |
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Description: 时间序列copula工具箱，包含密度函数，分布函数，对数似然函数等等，主要正对二元copula-This zip file contains a collection of Matlab functions for research on copulas for financial time series. Some simple example code is given in copula_example_code.m . A table of contents is given in contents.xls . 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.
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Size: 1191936 |
Author: 吴云 |
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Description: 本文件用于正态、t、阿基米德等常用二元Copula函数的随机运算(This document is used for normal, t, Archimedes and other commonly used two yuan Copula function random operations)
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Size: 7168 |
Author: 战狼副队长
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Description: 时变copula的matlab程序，正态copula，t-copula，clayton copula，sjc copula(dynamic copula toolbox)
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Size: 241664 |
Author: 小颜1111 |
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Description: Matlab code for simulating Clayton copula, Frank copula, Gumbel copula, Gaussian copula and Student t-copula
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Size: 1024 |
Author: grace917 |
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Description: R语言对数据进行Garch-t-Copula建模和Garch-Clayton-Copula建模(Garch-t-Copula modeling and Garch-Clayton-Copula modeling for data in R language)
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Size: 1024 |
Author: cccesc |
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