SJC copula in R

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SJC copula in R

Gus Br
Dear all,

Could you please tell me if there is any package or code available for the
(time-varying) Symmetrized Joe-Clayton copula in R?
In copula package, I think that there is only the Joe-Clayton copula.

Thank you in advance!
Gus

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Re: SJC copula in R

Erol Biceroglu-2
It’s possible the “VineCopula” package may have what you’re looking for.

Check out the “BiCop” function documentation for a list of available
copulas.

On Mon, Mar 12, 2018 at 12:37 PM Gus Br <[hidden email]> wrote:

> Dear all,
>
> Could you please tell me if there is any package or code available for the
> (time-varying) Symmetrized Joe-Clayton copula in R?
> In copula package, I think that there is only the Joe-Clayton copula.
>
> Thank you in advance!
> Gus
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
--

Erol Biceroglu
*LinkedIn <http://ca.linkedin.com/in/erolbiceroglu> | Wordpress
<https://propfoliomanagement.wordpress.com/>*

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Re: SJC copula in R

Gus Br
Dear Erol,

Thank you for your reply. Unfortunately, in VineCopula package, I only find
the Joe-Clayton and the rotated Joe-Clayton copula but not the
Symmetrized.one.


2018-03-12 17:42 GMT+01:00 Erol Biceroglu <[hidden email]
>:

> It’s possible the “VineCopula” package may have what you’re looking for.
>
> Check out the “BiCop” function documentation for a list of available
> copulas.
>
> On Mon, Mar 12, 2018 at 12:37 PM Gus Br <[hidden email]> wrote:
>
>> Dear all,
>>
>> Could you please tell me if there is any package or code available for the
>> (time-varying) Symmetrized Joe-Clayton copula in R?
>> In copula package, I think that there is only the Joe-Clayton copula.
>>
>> Thank you in advance!
>> Gus
>>
>>         [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
> --
>
> Erol Biceroglu
> *LinkedIn <http://ca.linkedin.com/in/erolbiceroglu> | Wordpress
> <https://propfoliomanagement.wordpress.com/>*
>

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