Rmetrics - Bivariate Dependence Structures with Copulae

Provides a collection of functions to manage, to investigate and to analyze bivariate financial returns by Copulae. Included are the families of Archemedean, Elliptical, Extreme Value, and Empirical Copulae.


Reference manual

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3042.82.1 by Tobias Setz, 2 years ago


Browse source code at https://github.com/cran/fCopulae

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb]

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance

GPL (>= 2) license

Imports grDevices, graphics, stats

Depends on timeDate, timeSeries, fBasics, fMultivar

Suggests methods, RUnit, tcltk, mvtnorm, sn

Imported by fPortfolio.

See at CRAN