4 June 2006
This toolbox is a collection of Matlab functions that I wrote for
my research on copulas for financial time series. The main papers from
that research are listed below.
Some simple example code is given in "copula_example_code.m", which is a
good place to start. It loads in a small data set and estimates a variety of
constant and time-varying copula models.
If you find any bugs in this code please feel free to let me know:
a.patton@lse.ac.uk
Updates will be available from my web page:
http://fmg.lse.ac.uk/~patton
-Andrew Patton.
References
Granger, C.W.J, T. Ter�svirta, and A.J. Patton, 2006 Common Factors in Conditional
Distributions for Bivariate Time Series, Journal of Econometrics, 132(1), 43-57.
Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence
for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168.
Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic
Review, 47(2), 527-556.
Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different
Lengths, Journal of Applied Econometrics, 21(2), 147-173.
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Patton_copula_toolbox_2.5_canalul3_copula_时变,copula_Patton_copul (148个子文件)
log_100.csv 224KB
SJC_L_1.fig 141KB
SJC_U_1.fig 140KB
RG_1.fig 140KB
SJC_U_2.fig 138KB
SJC_L_2.fig 138KB
SJC_U_3.fig 137KB
RG_2.fig 137KB
SJC_L_3.fig 137KB
RG_3.fig 137KB
N_3.fig 135KB
SJC_L_2.jpg 34KB
RG_2.jpg 30KB
SJC_L_1.jpg 29KB
SJC_U_2.jpg 29KB
SJC_U_3.jpg 28KB
RG_1.jpg 28KB
RG_3.jpg 27KB
SJC_L_3.jpg 26KB
SJC_U_1.jpg 26KB
N_3.jpg 23KB
copula_example_code.m 7KB
try_N225_KS11.m 7KB
try_SSEC_N225.m 7KB
copula_example_code.m 7KB
try_SSEC_KS11.m 7KB
contour_plots_code.m 4KB
contour_plots_code.m 4KB
euclidediv.m 4KB
bisect2.m 3KB
bisect2.m 3KB
sym_jc_pdf.m 3KB
sym_jc_pdf.m 3KB
bivartcdfmc.m 2KB
bivartcdfmc.m 2KB
sym_jc_rnd.m 2KB
sym_jc_rnd.m 2KB
sym_jc_tvp_CL.m 2KB
sym_jc_tvp_CL.m 2KB
bivarnormcdf.m 2KB
bivarnormcdf.m 2KB
tCopula_cdf.m 2KB
tCopula_cdf.m 2KB
Gumbel_tvp1_CL.m 2KB
Gumbel_tvp1_CL.m 2KB
tCopula.m 2KB
tCopula.m 2KB
bivnorm_tvp1_CL.m 2KB
bivnorm_tvp1_CL.m 2KB
sym_jc_cdf.m 2KB
sym_jc_cdf.m 2KB
bivarnormcdf2.m 2KB
bivarnormcdf2.m 2KB
ang_chen1.m 2KB
ang_chen1.m 2KB
clayton_rnd.m 2KB
clayton_rnd.m 2KB
bb7_rnd.m 2KB
bb7_rnd.m 2KB
tcopula_pdf.m 2KB
tcopula_pdf.m 2KB
clayton_cdf.m 1KB
clayton_cdf.m 1KB
plackett_rnd.m 1KB
plackett_rnd.m 1KB
clayton_pdf.m 1KB
clayton_pdf.m 1KB
Gumbel_rnd.m 1KB
Gumbel_rnd.m 1KB
nines.m 1KB
nines.m 1KB
tcopulaCL.m 1KB
tcopulaCL.m 1KB
BB7UgivenV_inverse2.m 1KB
BB7UgivenV_inverse2.m 1KB
beta_inv.m 1KB
PlackettUgivenV_inverse2.m 1KB
PlackettUgivenV_inverse2.m 1KB
plackett_cdf.m 1KB
plackett_cdf.m 1KB
unifcdf.m 1KB
gumbel_pdf.m 1KB
gumbel_pdf.m 1KB
BB7UgivenV_t.m 1KB
BB7UgivenV_t.m 1KB
plackett_pdf.m 1KB
plackett_pdf.m 1KB
beta_cdf.m 1KB
gumbel_cdf.m 1KB
gumbel_cdf.m 1KB
beta_pdf.m 1KB
bivnormpdf.m 1KB
bivnormpdf.m 1KB
gumbelCL.m 1KB
gumbelCL.m 1KB
sym_jc_example_code.m 1KB
sym_jc_example_code.m 1KB
sym_jc_CL.m 1KB
sym_jc_CL.m 1KB
claytonCL.m 1KB
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