Copula-Marginal Algorithm (CMA)

버전 1.1.0.0 (4.85 KB) 작성자: Attilio Meucci
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
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다운로드 수: 3.9K
업데이트 날짜: 2011/9/9

라이선스 보기

To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335

인용 양식

Attilio Meucci (2024). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. 검색됨 .

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개발 환경: R2011a
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Meucci_MCA/

버전 게시됨 릴리스 정보
1.1.0.0

modified title and short description
1.0.0.0