CondCopulas: Estimation and Inference for Conditional Copula Models

  • A.F.F. Derumigny (Creator)
  • Jean David Fermanian (Contributor)
  • Aleksey Min (Contributor)
  • R.A.J. van der Spek (Contributor)



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 (2020) <arXiv:2008.09498>).
Date made available26 Sept 2022
PublisherTU Delft - 4TU.ResearchData

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