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Regime Switching Copula (RSC) toolbox
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)
7 years 前 | 3 次下载 |
已提交
Dynamic Copula Toolbox 3.0
Functions to estimate copula GARCH and copula Vine models.
11 years 前 | 8 次下载 |
已提交
Dynamic Copula Toolbox 2.0
functions to estimates various copula models via MLE
16 years 前 | 1 次下载 |
已提交
Dynamic Copula Toolbox version 1
Estimation and simulation of Copula - GARCH and Copula Vines
16 years 前 | 2 次下载 |
已提交
CVaR optimization
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR
17 years 前 | 2 次下载 |
