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Jul 25

Copula toolbox for Matlab

Posted by abiao at 17:44 | Code » Matlab | Comments(1) | Reads(26661)
An aggregation of Matlab routines that  for research on copulas for financial time series . A few elementary illustration code is given in "copula_example_code.m". A table of contents is given in "contents.xls". Shortly, the toolbox comprises CDFs, PDFs, log-likelihoods and random number generators for numerous basic bivariate copulas, including the Clayton, Gumbel, Normal, Student's t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas. Simple codes for time-varying Normal, Gumbel and SJC copulas are included as well.


Pretty neat as well as specific, it is all totally in the right spot.

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