Copula-Marginal Algorithm (CMA)

版本 1.1.0.0 (4.8 KB) 作者: Attilio Meucci
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
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更新时间 2011/9/9

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To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335

引用格式

Attilio Meucci (2024). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. 检索时间: .

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1.1.0.0

modified title and short description
1.0.0.0