GitHub topics: vine-copulas
Amina-Ben-Salah/Conditional-Inference-Copula
This repository contains R code for conditional inference using copula models.
Size: 0 Bytes - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0
EmanuelSommer/portvine
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
Language: R - Size: 32.2 MB - Last synced at: 25 days ago - Pushed at: over 1 year ago - Stars: 22 - Forks: 4
jobstdavid/boostCopula
Gradient-Boosted Estimation of Generalized Linear Models for Conditional Vine Copulas
Language: R - Size: 2.2 MB - Last synced at: 11 months ago - Pushed at: 11 months ago - Stars: 2 - Forks: 0
jobstdavid/gamvinereg
D-Vine GAM Copula based Quantile Regression
Language: R - Size: 400 KB - Last synced at: 11 months ago - Pushed at: 11 months ago - Stars: 5 - Forks: 0
Sinbad-The-Sailor/Abacus
Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
Language: Jupyter Notebook - Size: 6.91 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 15 - Forks: 2
yuyuliangyu/matlab-vine-copula
这是一个用matlab编写的vine-copula
Language: MATLAB - Size: 1.09 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 2 - Forks: 0
EmanuelSommer/PortvineThesis
Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'
Language: HTML - Size: 34.7 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
ElsevierSoftwareX/SOFTX-D-21-00039
MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455
Language: MATLAB - Size: 590 KB - Last synced at: about 2 years ago - Pushed at: about 4 years ago - Stars: 6 - Forks: 3
