Title:
GAS_factor_copula_toolbox_17feb16
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- Category:
- matlab
- Tags:
-
[Matlab]
[源码]
- File Size:
- 1.14mb
- Update:
- 2016-03-26
- Downloads:
- 1 Times
- Uploaded by:
- 吴云
Description: This zip file contains a collection of Matlab functions for research on copulas for financial time series. Some simple example code is given in copula_example_code.m . A table of contents is given in contents.xls . Briefly, the toolbox contains CDFs, PDFs, log-likelihoods and random number generators for many common bivariate copulas, including the Clayton, Gumbel, Normal, Student s t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas. Basic code for time-varying Normal, Gumbel and SJC copulas is included.
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File list (Check if you may need any files):
AAA_main_GASFacCop_Skewtt_Ngroup.m
AAA_main_GASFacCop_Skewtt_VT.m
AAA_main_JPD_EPD_forVT.m
factor_cop_FXpdf_GL_Skewtt.m
factor_cop_Gcdf_calc1_Skewtt.m
factor_cop_Gcdf_calc1_Skewtt_loading.m
factor_cop_Gcdf_GL_Skewtt.m
factor_cop_Gcdfinv_spline.m
factor_cop_Gpdf_calc1_Skewtt_loading.m
factor_cop_Gpdf_GL_Skewtt.m
factor_cop_Gpdfvec_Skewtt.m
fminsearchbnd.m
Gcdfpdf_Skewtt.m
Gcdfpdf_Skewtt_TOOL_temp.m
GLNodeWt.m
GLquad.m
LL_eacht_GASFacCop_Skewtt_Ngroup.m
LL_GASFacCop_Skewtt_NGroup.m
LL_GASFacCop_Skewtt_VT.m
nines.m
results_from_GASFactorToolbox.mat
results_VT_from_GASFactorToolbox2.mat
rhobar2betabar.m
sample_CDS_data.mat
sample_data.mat
sample_marignal_data.mat
skewtdis_cdf.m
skewtdis_inv.m
skewtdis_pdf.m
