Copula-Marginal Algorithm (CMA)

Version 1.1.0.0 (4,85 ko) par Attilio Meucci
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
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Mise à jour 9 sept. 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

Citation pour cette source

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

Compatibilité avec les versions de MATLAB
Créé avec R2011a
Compatible avec toutes les versions
Plateformes compatibles
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Meucci_MCA/

Version Publié le Notes de version
1.1.0.0

modified title and short description
1.0.0.0