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#1
01-10-2009, 10:39 PM
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Archimedean copula
Hi everyone,
I'm traying to estimate families of multivariate Archimedean copulas (Clayton, Gumbel and Frank) from historical data. The first problem arise while estimating the kendall's tau or spearman's rho from the data needed for the simulation of the copula. I've read many papers on the subject and none of them shows a code or a clear algorithm, but only complicated formulas for computer implementation or suggest a method barely explained. Does anyone knows a paper or a book where the author go into thecnical issues thanks in advance for any suggestion. 
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#2
01-11-2009, 10:48 AM
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Tools for sampling Multivariate Archimedean Copulas
Hello Alfredo,
several algorithms are in the paper by Melchiori.
__________________
Energy can be likened to the bending of a bow, decision to letting the arrow fly. (Sun Tzu) Prediction is very difficult, especially about the future. (Confucius / Mark Twain / Niels Bohr)
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#3
01-11-2009, 01:13 PM
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Hi alfredo
have a look at this one Implementing Models in Quantitative Finance: Methods and Cases it´s nicely explained and some matlab code online. Sections on calibrating copulae and sampling from various copulae you can find here Copula Methods in Finance. A lot of papers on the subject are available on the site of Christian Genest. regards
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#4
03-12-2009, 04:32 PM
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Excel and R code
Hi,
I am Mario Melchiori. The VBA and R codes are free available for everybody, just e-mail me. Mario.Melchiori@gmail.com I hope to help. Regards. Last edited by mrmelchi; 03-14-2009 at 09:13 AM.
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#5
03-13-2009, 05:01 AM
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Copula estimation and simulation codes: Tags：copula - Quantitative Finance Collector
hope it helps. 
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