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风险相依性的刻画-copula的基本理论：Gaussian copula，Gumbel copula，Clayton copul.pdf
Copula
1013.88 KB
2020-5-31

On the generalized multivariate Gumbel distribution.pdf
521.57 KB
2019-1-4

On the generalized multivariate Gumbel distribution.pdf
521.49 KB
2019-1-4

Correlation Structure in Farlie-Gumbel-Morgenstern Distributions.pdf
428.45 KB
2016-1-21

supplementary.zip
本附件包括：
- c.gumbel.barnett.r
- c.gumbel.hougaard.r
- AUC.Rdata
- make.DV.r
- boot.both.Rdata
- bootstrap.specification2.r
- AUC.figure.r
- c.product.r
- make.DV.EHA.r
- figure.B5.r
- time.para.dif.figure.r
- copula.associate.unit.r
- e.logistic.r
- c.fgm.r
- MC.figure.background.r
- COEHA.r
- cgs_mult.dta
- time.para.background.r
- e.probit.r
- time.para.count.unit.r
- do.MC.unit.publish.EHA.r
- c.frank.r
- multinom.robust.sde.0.1-0.r
- cox.r
- figure.unit.r
- unit.r
- copula.sample.r.r
- appendices.pdf
- starter.Rdata
- figure.first.difference.unit.r
- AUC.background.r
- MC.figure.draw.unit.r
- AUC.unit.r
- bootstrap.specification3.r
- c.amh.r
- MC.unit.publish.r
- c.gaussian.r
- AUC.functions.r
- t.gamma.r
- bootstrap.specification1.r
- MC.publish.EHA.Rdata
- AIC.logit.Rdata
- CGS.setup.r
- c.trig.r
- AIC.probit.r
- analyze.specification3.r
- figure.probabilities.r
- MC.figure.draw.background.r
- MNL.r
- AUC.r
- readme.txt
- MC.figure.dif.background.count.time.both.r
- MC.figure.functions.r
- slide.r
- analyze.MC.r.r
- MC.unit.publish.EHA.r
- image.r
- make.covariates.simple.r
- AIC.logit.r
- do.MC.unit.publish.r
- COEHA.cox.r
- short.censor.time.r
- time.para.r
- e.normal.r
- boot.four.Rdata
- figure.functions.3rd.r
- boot.Rdata
- MC.setup.r
- MC.figure.control.r
- t.log.logistic.r
- MC.figure.treat.r
- MC.figure.dif.background.count.time.e.only.r
- AIC.summarize.r
- analyze.specification1.r
- AIC.probit.Rdata
- time.para.unit.r
- c.clayton.r
- MC.normal.Rdata
- MC.figure.dif.count.time.r
- do.MC.unit.publish.EHA.censor.r
- basic.functions.r
- copula.sample.unit.r
- t.weibull.r
- MC.censor.Rdata
- t.log.normal.r
- analyze.specification2.r
24.13 MB
2015-5-9

On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula.pdf
461.18 KB
2014-6-29

Gumbel VaR.xls
54 KB
2011-9-25

Patton_copula_toolbox.zip
本附件包括：
- gumbel_cdf.m
- gumbel_pdf.m
- gumbelCL.m
- corrcoef12.m
- bb7_rnd.m
- BB7UgivenV_inverse2.m
- BB7UgivenV_t.m
- bisect2.m
- bivarnormcdf.m
- bivarnormcdf_arg.m
- bivarnormcdf2.m
- bivartcdfmc.m
- bivartLL.m
- bivartpdf.m
- clayton_cdf.m
- clayton_pdf.m
- clayton_rnd.m
- claytonCL.m
- copula_example_code.m
- ang_chen1.m
- cov12.m
- empiricalCDF.m
- frankCL.m
- Gumbel_rnd.m
- GumbelUgivenV_inverse2.m
- GumbelUgivenV_t.m
- kappa2tau.m
- nines.m
- NormalCopula_cdf.m
- NormalCopula_CL.m
- NormalCopula_pdf.m
- plackett_cdf.m
- plackett_pdf.m
- plackett_rnd.m
- plackettCL.m
- PlackettUgivenV_inverse2.m
- PlackettUgivenV_t.m
- quantiledep.m
- sym_jc_cdf.m
- sym_jc_CL.m
- sym_jc_example_code.m
- sym_jc_pdf.m
- sym_jc_rnd.m
- tau2kappa.m
- tCopula.m
- tCopula_cdf.m
- tcopula_pdf.m
- tcopulaCL.m
- ibm_ccola_rets.txt
- Gumbel_tvp1_CL.m
- bivnorm_tvp1_CL.m
- sym_jc_tvp_CL.m
- readme.txt
- contents.xls
- contour_plots_code.m
- theta2rho.m
- rho2theta.m
- bivnormpdf.m
73.87 KB
2010-11-23

255599.zip
MATLAB 中copula 函数
本附件包括：
- gumbelcml.m
- bernsteincop.m
- claytoncml.m
- cmlstat.m
- copulaparam.m
- corrtest.m
- debye1.m
- ecopula.m
- frankcml.m
- gausscml.m
- kfun.m
- mvcoprnd.m
- tcml.m
9.76 KB
2008-10-12