文件名称:Time-varying-HAC-master
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hierarchical Archimedean copulas (HAC) for the US, the German and the Japanese stock market.(financial contagion is modelled by means of hierarchical Archimedean copulas (HAC) for the US, the German and the Japanese stock market. The time-varying nature of the copula parameters is induced by adopting the local parametric approach introduced in Spokoiny (1998).testing procedure underlying this approach are simulated on the basis of some predefined copula parameter constellations.)
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下载文件列表
| 文件名 | 大小 | 更新时间 |
|---|---|---|
| Time-varying-HAC-master | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\BIC | 192456 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.R | 1473 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\COPRollingBIC.png | 9197 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\README.md | 2877 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\dates | 141712 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingBIC\metainfo.txt | 833 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\COPRollingcorr.R | 2577 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\COPRollingcorr1.png | 6821 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\COPRollingcorr2.png | 6956 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\README.md | 3745 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\dates | 141712 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\eps | 160062 | 2016-01-09 |
| Time-varying-HAC-master\COPRollingcorr\metainfo.txt | 560 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\Acv | 272076 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\Bcv | 267064 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv.R | 1696 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv1.png | 5228 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv2.png | 3660 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv3.png | 3503 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\COPlcpcompcv4.png | 3214 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\README.md | 2913 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\metainfo.txt | 554 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpcompcv\qx | 1421 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\AGumbel | 134992 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\BGumbel | 143992 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.R | 1961 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\COPlcpdiffMLI.png | 4984 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\README.md | 3275 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\dates | 141712 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpdiffMLI\metainfo.txt | 554 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs | 0 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\AGumbel | 134992 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\BGumbel | 143992 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs.R | 3121 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs1.png | 4967 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs2.png | 4888 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs3.png | 5017 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\COPlcpgraphs4.png | 5065 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\README.md | 4614 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\dates | 141712 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\global.taus | 48 | 2016-01-09 |
| Time-varying-HAC-master\COPlcpgraphs\metainfo.txt | 831 | 2016-01-09 |
| Time-varying-HAC-master\README.md | 2250 | 2016-01-09 |