fCopulae

MaRDI QIDQ33940swMATHCRANFDO

Authors Diethelm Wuertz, Tobias Setz

Last update 22 February 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 4022.85, PACKAGES.rds, 251.70, 260.71, 260.72, 270.73, 270.74, 290.75, 2100.76, 2100.77, 2110.78, 3000.79, 3011.81, 3042.82.1, 3042.82, 4021.84, 4052.86

Official website https://cran.r-project.org/web/packages/fCopulae/index.html

Source code repository https://github.com/cran/fCopulae

Description

Provides 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.

Cited in

(26)

• mvPot
• nacopula
• HAC
• RTDE
• gofCopula
• futureheatwaves
• hkevp
• extremogram
• VaRES
• ReporteRs
• ExtremalDep
• R2Cuba
• Gumbel
• fgac
• QRMlib
• condMVNorm
• fPortfolio
• Basic elements of computational statistics
• Statistical arbitrage with vine copulas
• ptsuite
• lax
• RWsearch
• extremeStat
• tea
• egpd4gamlss
• extremis

This page was built for software: fCopulae