XploRe Help : dcat

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	VaR
See also:	ucat mnllike

Quantlet:		dcat
Description:		computes the conditional dependence parameter from a given copula with maximal likelihood method.

Reference(s):

Jondeau E., Rockinger M. (2002): "Conditional Dependency of Financial Series: The Copula-GARCH Model"

Usage:	`d = dcat(u,xd,xu,yd,yu,nrcop,down,up)`
Input:
	`u`	n x 2 matrix, data
	`xd`	scalar, lower bound of first column of data set
	`xu`	scalar, upper bound of first column of data set
	`yd`	scalar, lower bound of second column of data set
	`yu`	scalar, upper bound of second column of data set
	`nrcop`	scalar, integer between 1 and 7, selects the copula, see copulalike for details.
	`down`	scalar, lower bound of parameter theta
	`up`	scalar, upper bound of parameter theta
Output:
	`d`	2 x 1 vector, first element is the estimation of parameter theta from the given copula, second the corresponding value of Akaike Information Criterion, AIC.

Example:

library("VaR") g=read("multidata2.dat") x=g[,1:2] d = dcat(x,1,5,1,5,1,0.1,0.2) d

Result:

Conditional dependence parameter from the given copula and
value of the corresponding Akaike Informational Criterium.

Contents of d
[1,]      0.2
[2,]    -3581

Author: K.Jajuga, D.Papla, 20031101 license MD*Tech