Copula-Marginal Algorithm (CMA)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
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 (2026). Copula-Marginal Algorithm (CMA) (https://ww2.mathworks.cn/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. 检索时间: .
