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Main : Excel : 


Category: Excel View Full Details
Download Now!Gaussian, Student ,Clayton, Frank and Gumbel copulas
Submitter: vanna Date: 2007/3/31
Description:
This file contains code to generate Gaussian, Student ,Clayton, Frank and Gumbel copulas for a prescribed correlation coeeficient, and demonstrates comparision of their depnedency structures

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Downloaded 6660 times  6660  File Size 0 bytes  Supported Platforms Excel VBA  Home Page http://www.quantcode.com/
Rating: 9.00 (2 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (6)

Poster Thread
vanna
Posted: 2009/7/15 21:04  Updated: 2009/7/15 21:04
Just can't stay away
Joined: 2007/3/21
From:
Posts: 104
 Re: Gaussian, Student ,Clayton, Frank and Gumbel copulas
Please read if you get exceptions:
http://www.quantcode.com/modules/newbb/viewtopic.php?topic_id=232&forum=1&post_id=462#forumpost462

Poster Thread
Anonymous
Posted: 2013/1/30 17:55  Updated: 2013/2/10 12:53
 Gaussian, Student ,Clayton, Frank and Gumbel copulas
How do I change the mean and stdev of the simulated copulas? Is there a way to adjust skewness and kurtosis of the student-t copula?

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