4 June 2006
This toolbox is a collection of Matlab functions that I wrote for
my research on copulas for financial time series. The main papers from
that research are listed below.
Some simple example code is given in "copula_example_code.m", which is a
good place to start. It loads in a small data set and estimates a variety of
constant and time-varying copula models.
If you find any bugs in this code please feel free to let me know:
[email protected]
Updates will be available from my web page:
http://fmg.lse.ac.uk/~patton
-Andrew Patton.
References
Granger, C.W.J, T. Ter�svirta, and A.J. Patton, 2006 Common Factors in Conditional
Distributions for Bivariate Time Series, Journal of Econometrics, 132(1), 43-57.
Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence
for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168.
Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic
Review, 47(2), 527-556.
Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different
Lengths, Journal of Applied Econometrics, 21(2), 147-173.
Copula toolbox for Matlab

这个压缩文件包含了我为研究金融时间序列的copulas而编写的Matlab函数集合(Patton 2006a, Patton 2006b, Patton 2004, Granger et al. 2006, Patton 2007).
在“copula example code_for.m”中给出了一些简单的示例代码。
数据存放在contents.xls中。
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. Some helper fu

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