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View Code? Open in Web Editor NEWR Code CoVaR with Copula
R Code CoVaR with Copula
Dear Andrugo,
Thank you for your excellent work.It really inspires me greatly!
However, I'm confused about the exact meanings of the parameters in CoVaR.R:
CoVaR <- function(y,x,par,par2,dof,gamma,
cond.mean,cond.sigma
,dist,type)
How to match these parameters, like par,par2,dof,gamma,cond.mean,cond.sigma ,dist,type ,to the issue mentioned in the parper Quantile dependence of oil price movements and stock returns?
Iโm looking forward to hearing from you!
Best regards,
Jaden
Is there a paper related to these codes? May I study your nice paper? Or you can send it to my email: [email protected]. Thank you very much.
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