vine-copulas

There are 7 repositories under vine-copulas topic.

  • EmanuelSommer/portvine

    Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

    Language:R20114

  • Sinbad-The-Sailor/Abacus

    Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

    Language:Jupyter Notebook18302

  • ElsevierSoftwareX/SOFTX-D-21-00039

    MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455

    Language:MATLAB14216

  • jobstdavid/gamvinereg

    D-Vine GAM Copula based Quantile Regression

    Language:R5100

  • yuyuliangyu/matlab-vine-copula

    这是一个用matlab编写的vine-copula

    Language:MATLAB4100

  • EmanuelSommer/PortvineThesis

    Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'

    Language:HTML3100

  • jobstdavid/boostCopula

    Gradient-Boosted Estimation of Generalized Linear Models for Conditional Vine Copulas

    Language:R2100