The Rmetrics fCopulae
package is 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.
fCoplae
was written to explore and investigate
bivariate copulae and dependence structures. darchmCopula Computes Archimedean copula density parchmCopula Computes Archimedean copula probability rarchmCopula Generates Archimedean copula random variatesFor the Gumbel Copula we have a fast implementation.
rgumbelCopula Generates fast gumbel random variates dgumbelCopula Computes bivariate Gumbel copula density pgumbelCopula Computes bivariate Gumbel copula probabilityArchimedean Copula Dependency Structure:
archmTau Returns Kendall's tau for Archemedean copulae archmRho Returns Spearman's rho for Archemedean copulae
archmTailCoeff Computes tail dependence for Archimedean copulae archmTailPlot Plots Archimedean tail dependence functionArchimedean Copula Generator:
archmList Returns list of implemented Archimedean copulae archmParam Sets Default parameters for an Archimedean copula archmRange Returns the range of valid alpha values archmCheck Checks if alpha is in the valid range
Phi Computes Archimedean Phi, inverse and derivatives PhiSlider Displays interactively generator function Kfunc Computes Archimedean Density Kc and its Inverse KfuncSlider Displays interactively the density and concordanceArchemedean Copula Modeling:
archmCopulaSim Simulates bivariate elliptical copula archmCopulaFit Fits the paramter of an elliptical copulaArchemedean Copula Slider:
darchmSlider Displays interactively archimedean density parchmSlider Displays interactively Archimedean probability rarchmSlider Displays interactively Archimedean probability
dellipticalCopula Computes elliptical copula density pellipticalCopula Computes elliptical copula probability rellipticalCopula Generates elliptical copula variatesElliptical Copula Slider:
dellipticalSlider Generates interactive plots of density pellipticalSlider Generates interactive plots of probability rellipticalSlider Generates interactive plots of random variatesElliptical Copula Dependency Structures:
ellipticalTau Computes Kendall's tau for elliptical copulae ellipticalRho Computes Spearman's rho for elliptical copulae
ellipticalTailCoeff Computes tail dependence for elliptical copulae ellipticalTailPlot Plots tail dependence functionElliptical Copula Generator:
ellipticalList Returns list of implemented Elliptical copulae ellipticalParam Sets default parameters for an elliptical copula ellipticalRange Returns the range of valid rho values ellipticalCheck Checks if rho is in the valid range
gfunc Generator function for elliptical distributions gfuncSlider Slider for generator, density and probabilityElliptical Copula Modeling:
ellipticalCopulaSim Simulates bivariate elliptical copula ellipticalCopulaFit Fits the paramter of an elliptical copula
devCopula Computes extreme value copula density pevCopula Computes extreme value copula probability revCopula Generates extreme value copula random variates
devSlider Displays interactively plots of density pevSlider Displays interactively plots of probability revSlider isplays interactively plots of random variatesExtreme Value Copula Dependeny Structures:
evTau Returns Kendall's tau for extreme value copulae evRho Returns Spearman's rho for extreme value copulae
evTailCoeff Computes tail dependence for extreme value copulae evTailCoeffSlider Plots extreme value tail dependence functionExtreme Value Copula Generator:
evList Returns list of implemented extreme value copulae evParam Sets Default parameters for an extreme value copula evCheck Checks if parameters are in the valid range evRange Returns the range of valid parameter values
Afunc Computes Dependence function AfuncSlider Displays interactively dependence functionExtreme Value Copula Modeling:
evCopulaSim Simulates bivariate extreme value copula evCopulaFit Fits the paramter of an extreme value copula
pempiricalCopula Computes empirical copula probability dempiricalCopula Computes empirical copula density
fCopulae
Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.
Package: |
fCopulae |
Type: |
Package |
Version: |
R 3.0.1 |
Date: |
2014 |
License: |
GPL Version 2 or later |
Copyright: |
(c) 1999-2014 Rmetrics Assiciation |