kcopula: kcopula: The Bivariate K-Copula

In mlkremer/kcopula: The Bivariate K-Copula

Description

kcopula provides the bivariate K-copula by Wollschläger and Schäfer (2016).

Details

kcopula provides two functions:

• pkcopula gives the distribution function of the bivariate K-copula.

• dkcopula gives the density of the bivariate K-copula.

Author(s)

Marcel Kremer, [e-mail]

References

Wollschläger, M. and Schäfer, R. (2016). Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns. Journal of Risk, 19(1):1–23. https://doi.org/10.21314/JOR.2016.342. SSRN version: https://ssrn.com/abstract=3533903.

Chetalova, D., Wollschläger, M., and Schäfer, R. (2015). Dependence structure of market states. Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012. https://doi.org/10.1088/1742-5468/2015/08/P08012. SSRN version: https://ssrn.com/abstract=3533951.

See Also

Useful links:

• https://github.com/mlkremer/kcopula

• Report bugs at https://github.com/mlkremer/kcopula/issues

Examples

## See README.md on GitHub for a comprehensive example.

mlkremer/kcopula documentation built on May 2, 2021, 12:04 a.m.