Libraries: Copula: Gaussian, Student t, Clayton, Gumbel and Frank copulas with tail dependence
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Copula: Gaussian, Student t, Clayton, Gumbel and Frank copulas with tail dependence:
Fits five bivariate copulas on ranks, with Kendall's tau, tail dependence, the probability of joint extreme days, AIC and the conditional probabilities of pairs trading.
Author: Mohamed-amine Baddir