CondCopulas (Q110518)

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Estimation and Inference for Conditional Copula Models
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CondCopulas
Estimation and Inference for Conditional Copula Models

    Statements

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    0.1.2
    25 April 2022
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    0.1.1
    30 March 2022
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    0.1.3
    26 September 2023
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    26 September 2023
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    Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), and test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>).
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