In this package 43 models, containing elliptical copula models, Archimedean copula models, hierarchical Archimedean copula models and mixed copula models, have been employed for the iTraxx Europe Index Series 8 tranche spreads, whose details can be referred to the master theisis, CDO, HAME Copulas and an R Package `CDO'.
|Author||Yafei Xu <[email protected]>|
|Date of publication||2014-04-07|
|Maintainer||Yafei Xu <[email protected]>|
|License||GPL (>= 3)|
|Package repository||View on GitHub|
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