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Manthos Vogiatzoglou
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Professional Interests: computational finance - statistics
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Submitted
Regime Switching Copula (RSC) toolbox
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)
6 years ago | 3 downloads |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/47c90cf3-5829-40b1-9c64-a6961e11b631/e249b999-8a24-4199-bea7-a83c5aaf53a6/images/screenshot.png)
Submitted
Dynamic Copula Toolbox 3.0
Functions to estimate copula GARCH and copula Vine models.
9 years ago | 26 downloads |
Submitted
Dynamic Copula Toolbox 2.0
functions to estimates various copula models via MLE
15 years ago | 1 download |
Submitted
Dynamic Copula Toolbox version 1
Estimation and simulation of Copula - GARCH and Copula Vines
15 years ago | 2 downloads |
Submitted
CVaR optimization
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR
16 years ago | 2 downloads |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/19907/versions/1/screenshot.gif)