copulas

A library to model multivariate data using copulas.

Multivariate data modelling with Copulas in Python

Python package for canonical vine copula trees with mixed continuous and discrete marginals

Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals

An R package for the stochastic simulation of processes with any marginal distribution and correlation structure

Mostly experiments of quantitative finance concepts that i wish to get a deeper knowledge of the underlying theory

MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455

A professor I wanted to do research with asked me to read up on copulas before an interview. I ended up doing a bit more than just reading. This is based off the work of Thomas Wiecki (https://twiecki.io/blog/2018/05/03/copulas/).

Code for paper "Copula-based conformal prediction for Multi-Target Regression"

Generative Models in Commodity Trading

Examples of scheduled jobs estimating copulas at www.microprediction.org

Matlab code accompanying Segers, Van den Akker, and Werker (2014).

From A to Z

Multivariate time series generator based on the Phase Annealing algorithm. Various objective functions that focus on multivariate copula properties while annealing. Various plotting routines to visualize results. Take a look at the scripts in the "test" directory for how to use.

An application of Rockafellar and Uryasev (2000) using real financial data, a GJR-GARCH model for margins, and copulas to model the multivariate their dependence structure.

Research seminar about a fast selection technique for bivariate copulae.

Flow-based PC algorithm for causal discovery using Normalizing Flows

Work in progress.

Ensemble of Trees of Pairwise Copulas for extremes