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fCopulae

R package fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae. Provides a collection of functions to manage, to investigate and to analyze bivariate financial returns by Copulae. Included are the families of Archemedean, Elliptical, Extreme Value, and Empirical Copulae.

Keywords for this software

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  • R package
  • Journal of Statistical Software
  • R
  • canonical vine
  • multivariate copula
  • nested Archimedean copulas
  • multivariate statistical analysis
  • discrete distributions
  • numerical integration
  • exponentially tilted stable distribution, R
  • bivariate copula
  • dependence structures
  • advanced graphical techniques in R
  • combinatorics
  • regression models
  • random numbers in R
  • sampling algorithms
  • quantitative strategies
  • maximum likelihood estimation
  • finance
  • univariate distributions
  • matrix algebra
  • HAC
  • pairs trading
  • univariate statistical analysis
  • copula
  • Archimedean copulas
  • D-vine
  • Kendalls tau
  • copulas

  • URL: cran.r-project.org/web...
  • Code
  • InternetArchive
  • Manual: cran.r-project.org/web...
  • Authors: Diethelm Wuertz, Tobias Setz, Yohan Chalabi
  • Dependencies: R

  • Add information on this software.


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References in zbMATH (referenced in 5 articles )

Showing results 1 to 5 of 5.
y Sorted by year (citations)

  1. Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher: Statistical arbitrage with vine copulas (2018)
  2. Härdle, Karl Wolfgang; Okhrin, Ostap; Okhrin, Yarema: Basic elements of computational statistics (2017)
  3. Ostap Okhrin; Alexander Ristig: Hierarchical Archimedean Copulae: The HAC Package (2014) not zbMATH
  4. Eike Brechmann; Ulf Schepsmeier: Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013) not zbMATH
  5. Marius Hofert; Martin Maechler: Nested Archimedean Copulas Meet R: The nacopula Package (2011) not zbMATH

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