/Reproducibility-CondEmpiricalCopulaProcesses

Replication for the article 'Conditional empirical copula processes and generalized measures of association'

Primary LanguageR

Reproducibility-CondEmpiricalCopulaProcesses

Replication for the article 'Conditional empirical copula processes and generalized measures of association'

Structure of this repository

  • Files that only contains functions:

    • lib_computationReturnsInnov.R: computations of returns and innovations
    • lib_GARCH.R: GARCH filtering (necessary for computing the innovations)
    • lib_CKT.R: computations of conditional Kendall's tau and its confidence interval via the nonparametric bootstrap

  • Script files:

    • 01_loadingData.R: loading the data and preprocessing
    • 02_estimation.R: computing CKT, making plots