Assignments repository for Fall 2024 Multivariate Methods course

The MultiHazard R package provides tools for stationary multivariate statistical modeling such as of the joint distribution of MULTIple co-occurring HAZARDs.

Inference of Elliptical Copulas and Elliptical Distributions

Statistical inference of vine copulas

pbox R package. Exploring multivariate spaces with Probability Boxes

R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test

Spatial synchrony at the extremes

Some code related to our paper Per,Duc,Nes. Detection (2019). The objective is to detect block-exchangeable structures in correlation matrices. For any help, please contact me or leave a comment somewhere. I will be glad to help you.

Fitting an exchangeable 2-copule model

The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.

Liouville copulas

Model-based clustering with vine copulas

R-package: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

Code for the paper "Dependence Structure Estimation via Copula"

Copula Marginal Algorithm

Code for the paper "Causal Domain Adaptation with Copula Entropy based Conditional Independence Test"

Estimation of Structured t-Copulas

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.

Covariate-dependent copula models