Copula-Marginal Algorithm (CMA)

Versione 1.1.0.0 (4,85 KB) da Attilio Meucci

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

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3,9K download

Aggiornato 9 set 2011

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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

Cita come

Attilio Meucci (2024). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. Recuperato aprile 24, 2024.

Compatibilità della release di MATLAB

Creato con R2011a

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Meucci_MCA/

Versione	Pubblicato	Note della release
1.1.0.0	9 set 2011	modified title and short description	Scarica
1.0.0.0	26 ago 2011		Scarica