Copula-Marginal Algorithm (CMA)

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

Version 1.1.0.0 (4.85 KB)
4K Downloads
(1)
9 Sep 2011

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To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335

Cite As

Attilio Meucci (2026). Copula-Marginal Algorithm (CMA) (https://se.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. Retrieved .

Categories

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.1.0.0

modified title and short description
1.0.0.0