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Title: Time-varying-HAC-master Download
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  • matlab
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  • 656kb
  • Update:
  • 2018-03-03
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  • 暖阳1988
 Description: financial contagion is modelled by means of hierarchical Archimedean copulas (HAC) for the US, the German and the Japanese stock market. The time-varying nature of the copula parameters is induced by adopting the local parametric approach introduced in Spokoiny (1998).testing procedure underlying this approach are simulated on the basis of some predefined copula parameter constellations.
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FilenameSizeDate
Time-varying-HAC-master 0  2016-01-09

Time-varying-HAC-master\COPRollingBIC 0  2016-01-09

Time-varying-HAC-master\COPRollingBIC\BIC 192456  2016-01-09

Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.R 1473  2016-01-09

Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.png 9197  2016-01-09

Time-varying-HAC-master\COPRollingBIC\README.md 2877  2016-01-09

Time-varying-HAC-master\COPRollingBIC\dates 141712  2016-01-09

Time-varying-HAC-master\COPRollingBIC\metainfo.txt 833  2016-01-09

Time-varying-HAC-master\COPRollingcorr 0  2016-01-09

Time-varying-HAC-master\COPRollingcorr\COPRollingcorr.R 2577  2016-01-09

Time-varying-HAC-master\COPRollingcorr\COPRollingcorr1.png 6821  2016-01-09

Time-varying-HAC-master\COPRollingcorr\COPRollingcorr2.png 6956  2016-01-09

Time-varying-HAC-master\COPRollingcorr\README.md 3745  2016-01-09

Time-varying-HAC-master\COPRollingcorr\dates 141712  2016-01-09

Time-varying-HAC-master\COPRollingcorr\eps 160062  2016-01-09

Time-varying-HAC-master\COPRollingcorr\metainfo.txt 560  2016-01-09

Time-varying-HAC-master\COPlcpcompcv 0  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\Acv 272076  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\Bcv 267064  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv.R 1696  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv1.png 5228  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv2.png 3660  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv3.png 3503  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv4.png 3214  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\README.md 2913  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\metainfo.txt 554  2016-01-09

Time-varying-HAC-master\COPlcpcompcv\qx 1421  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI 0  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\AGumbel 134992  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\BGumbel 143992  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.R 1961  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.png 4984  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\README.md 3275  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\dates 141712  2016-01-09

Time-varying-HAC-master\COPlcpdiffMLI\metainfo.txt 554  2016-01-09

Time-varying-HAC-master\COPlcpgraphs 0  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\AGumbel 134992  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\BGumbel 143992  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs.R 3121  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs1.png 4967  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs2.png 4888  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs3.png 5017  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs4.png 5065  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\README.md 4614  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\dates 141712  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\global.taus 48  2016-01-09

Time-varying-HAC-master\COPlcpgraphs\metainfo.txt 831  2016-01-09

Time-varying-HAC-master\README.md 2250  2016-01-09

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