• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

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.


 

Bastian Gross

German Mathquant
Tools for sampling Multivariate Archimedean Copulas

Hello Alfredo,

several algorithms are in the paper by Melchiori.
 

Attachments

  • Tools for sampling Multivariate Archimedean Copulas.pdf
    666.7 KB · Views: 394
  • Simulating Exchangeable Multivariate Archimedean Copulas.pdf
    789.6 KB · Views: 282
  • Melchiori --- Tools for sampling Multivariate Archimedean Copulas.pdf
    666.7 KB · Views: 262
parameter estimate of the Archimedean copula (method CML)

hello everyone
I need your help, I can not find the MATLAB code for the parameter estimate trivariate Archimedean copulas. for the bivariate case I have not found the flaw? Please this is urgent !!!!!
 
I don't know much about the subject, but I know one young genius who writes about this topic.

his papers are here
http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2/Publications


His name is Ostap Okhrin
Ukrainian-born, 26 years old professor from German University.
http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2


@Andy, you may contact him about interview, actually. I know his author of some quant-finance books and his quite famous.
 
Top