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07_A_motivating_example.R
07_Computing_volumes.R
07_Copula_estimation.R
07_Copula_estimation_and_goodness-of-fit.R
07_Copula_tail_probabilities.R
07_Correlation_pitfalls.R
07_Examples_of_copulas.R
07_First_principles.R
07_Meta_copula_models.R
07_Quasi-random_numbers_for_copulas.R renamings May 20, 2018
07_Sklar_theorem_and_invariance_principle.R
07_Spearmans_rho_Kendalls_tau.R
README

README

### Suggested order of R scripts for Chapter 7

07_A_motivating_example.R
   A motivating example
07_First_principles.R
   Generate and transform multivariate data (with the probability and quantile transformations)
07_Sklar_theorem_and_invariance_principle.R
   Visually explaining Sklar's Theorem and the invariance principle
07_Examples_of_copulas.R
   Selected copulas and copula families
07_Meta_copula_models.R
   Generate some meta models using different copulas
07_Correlation_pitfalls.R
   Selected correlation pitfalls
07_Copula_tail_probabilities.R
   Computing tail probabilities of Gauss and t copulas
07_Copula_estimation.R
   Basic estimation of various bivariate copulas to SP500 and FTSE
07_Copula_estimation_and_goodness-of-fit.R
   Another copula estimation example (with copula-GARCH approach and goodness-of-fit)
07_Quasi-random_numbers_for_copulas.R
   Quasi-random numbers for copula models with an application to estimating rare event probabilities
07_Computing_volumes.R
   Compute C-volumes
07_Spearmans_rho_Kendalls_tau.R
   Various experiments with Spearman's rho and Kendall's tau