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Does Asymmetric Dependence Structure Matter? A Value-at-Risk View
Company: International Journal of Business and Economics
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: September
Pages: 249-268
Download Count: 3
View Count: 1510
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-5-2011
Publisher: Administrator
Summary
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas. This article presents the design, features, and some implementation details of the R package copula. The package provides a carefully designed and easily extensible platform for multivariate modeling with copulas in R. S4 classes for most frequently used elliptical copulas and Archimedean copulas are implemented, with methods for density/distribution evaluation, random number generation, and graphical display. Fitting copula-based models with maximum likelihood method is provided as template examples. With the classes and methods in the package, users can easily extend the package can be easily extended by user-defined copulas and margins to solve problems.
(volume 7, number 3)
Author(s)
Lai, YiHao Sign in to follow this author
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