00fCopulae-package: Modelling Copulae and Dependence Structures
fCopulae package is 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.
Package: || fCopulae
Type: || Package
Version: || R 3.0.1
Date: || 2014
License: || GPL Version 2 or later
Copyright: || (c) 1999-2014 Rmetrics Assiciation
URL: || https://www.rmetrics.org
fCoplae was written to explore and investigate
bivariate copulae and dependence structures.
2 Archimedean Copulae
This chapter contains functions for analysing and modeling Archemedean
Archimedean Copula Density, Probability and Random Numbers:
For the Gumbel Copula we have a fast implementation.
Archimedean Copula Dependency Structure:
archmTau Returns Kendall's tau for Archemedean copulae
archmRho Returns Spearman's rho for Archemedean copulae
Archimedean Copula Generator:
Archemedean Copula Modeling:
Archemedean Copula Slider:
3 Elliptical Copulae
This chapter contains functions for analysing and modeling elliptical
Elliptical Copula Density, Probability and Random Numbers:
Elliptical Copula Slider:
Elliptical Copula Dependency Structures:
ellipticalTau Computes Kendall's tau for elliptical copulae
ellipticalRho Computes Spearman's rho for elliptical copulae
Elliptical Copula Generator:
Elliptical Copula Modeling:
4 Extreme Value Copulae
This chapter contains functions for analysing and modeling extreme
Extremem Value Copula Density, Probability and Random Numbers:
Extreme Value Copula Dependeny Structures:
evTau Returns Kendall's tau for extreme value copulae
evRho Returns Spearman's rho for extreme value copulae
Extreme Value Copula Generator:
Extreme Value Copula Modeling:
5 Empirical Copula.
This chapter contains functions for analysing and modeling empirical
Empirical Copulae Density and Probability:
fCopulae Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.