文件列表:

Patton_copula_toolbox\ang_chen1.m (1593, 2006-06-04)
Patton_copula_toolbox\BB7UgivenV_inverse2.m (1341, 2006-06-04)
Patton_copula_toolbox\BB7UgivenV_t.m (1243, 2006-06-04)
Patton_copula_toolbox\bb7_rnd.m (1570, 2006-06-04)
Patton_copula_toolbox\bisect2.m (2775, 2000-11-15)
Patton_copula_toolbox\bivarnormcdf.m (1972, 2006-03-08)
Patton_copula_toolbox\bivarnormcdf2.m (1600, 2006-03-08)
Patton_copula_toolbox\bivarnormcdf_arg.m (462, 2006-03-08)
Patton_copula_toolbox\bivartcdfmc.m (2172, 2003-08-18)
Patton_copula_toolbox\bivartLL.m (551, 2001-05-07)
Patton_copula_toolbox\bivartpdf.m (1065, 2001-08-26)
Patton_copula_toolbox\bivnormpdf.m (1118, 2007-01-18)
Patton_copula_toolbox\bivnorm_tvp1_CL.m (1757, 2006-06-04)
Patton_copula_toolbox\claytonCL.m (1082, 2006-06-04)
Patton_copula_toolbox\clayton_cdf.m (1532, 2006-06-04)
Patton_copula_toolbox\clayton_pdf.m (1483, 2006-08-22)
Patton_copula_toolbox\clayton_rnd.m (1573, 2006-06-04)
Patton_copula_toolbox\Common factors in conditional distributions for bivariate time series.pdf (225191, 2015-09-12)
Patton_copula_toolbox\contents.xls (25088, 2007-01-18)
Patton_copula_toolbox\contour_plots_code.m (4024, 2007-01-18)
Patton_copula_toolbox\copula_example_code.m (6974, 2015-09-12)
Patton_copula_toolbox\corrcoef12.m (832, 2002-10-12)
Patton_copula_toolbox\cov12.m (559, 2001-04-27)
Patton_copula_toolbox\empiricalCDF.m (994, 2006-02-27)
Patton_copula_toolbox\ESTIMATION OF MULTIVARIATE MODELS FOR TIME SERIES.pdf (345103, 2015-09-12)
Patton_copula_toolbox\frankCL.m (426, 2003-03-11)
Patton_copula_toolbox\gumbelCL.m (1095, 2006-06-04)
Patton_copula_toolbox\GumbelUgivenV_inverse2.m (810, 2006-08-22)
Patton_copula_toolbox\GumbelUgivenV_t.m (484, 2006-06-04)
Patton_copula_toolbox\gumbel_cdf.m (1143, 2006-06-04)
Patton_copula_toolbox\gumbel_pdf.m (1285, 2006-06-04)
Patton_copula_toolbox\Gumbel_rnd.m (1425, 2006-06-04)
Patton_copula_toolbox\Gumbel_tvp1_CL.m (1783, 2006-06-04)
Patton_copula_toolbox\ibm_ccola_rets.txt (85952, 2006-02-27)
Patton_copula_toolbox\kappa2tau.m (440, 2002-05-05)
Patton_copula_toolbox\MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE_.pdf (517006, 2015-09-12)
Patton_copula_toolbox\nines.m (1403, 2003-04-16)
Patton_copula_toolbox\NormalCopula_cdf.m (864, 2001-10-15)
Patton_copula_toolbox\NormalCopula_CL.m (446, 2006-03-09)
Patton_copula_toolbox\NormalCopula_pdf.m (730, 2001-07-27)
... ...

4 June 2006 This toolbox is a collection of Matlab functions that I wrote for my research on copulas for financial time series. The main papers from that research are listed below. Some simple example code is given in "copula_example_code.m", which is a good place to start. It loads in a small data set and estimates a variety of constant and time-varying copula models. If you find any bugs in this code please feel free to let me know: a.patton@lse.ac.uk Updates will be available from my web page: http://fmg.lse.ac.uk/~patton -Andrew Patton. References Granger, C.W.J, T. Tersvirta, and A.J. Patton, 2006 Common Factors in Conditional Distributions for Bivariate Time Series, Journal of Econometrics, 132(1), 43-57. Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168. Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47(2), 527-556. Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 21(2), 147-173.

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