MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455
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Apr 27, 2021 - MATLAB
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copulas
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Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
statistics matlab modeling dependency-analysis data-analysis copula regular-vines c-vines copula-models copulas dependency-modeling copulae
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Jul 15, 2017 - MATLAB
Semiparametric efficient rank-based estimation of copula parameters
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Mar 30, 2024 - MATLAB
Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen
finance simulation matlab monte-carlo-simulation stochastic-differential-equations variance-reduction black-scholes sampling-methods copulas
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May 1, 2023 - MATLAB
Ensemble of Trees of Pairwise Copulas for extremes
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Dec 17, 2020 - MATLAB
Estimation and forecasting of volatility using Financial Timeseries with Copulas. Includes models like GARCH, EWMA and EqWMA. Market risk management using CVaR, EVT, Risk Factors and Monte Carlo Simulation.
time-series monte-carlo-simulation log-likelihood taylor-expansion risk-factors ewma skewness kurtosis volatility-modeling garch-models copulas conditional-value-at-risk extreme-value-theory
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Mar 10, 2025 - MATLAB
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