Message-ID: <B89F0CE41D45644A97CCC93DF548C1C30D0FD3AD@GBHENXMB02.corp.amvescap.net>
Date: 2007-12-12T15:48:34Z
From: Pfaff, Bernhard Dr.
Subject: Need good Reference Material and Reading about Gaussian Copulas
In-Reply-To: <0946E293C7C22A45A0E33BA14FAA8D880151E475@500MAIL.goldbox.com>
Hello Neil,
you will find decent and well-written papers on:
http://www.math.ethz.ch/~embrecht/
http://www.ma.hw.ac.uk/~mcneil/
http://www.math.uni-leipzig.de/~tschmidt/#publications
Best,
Bernhard
ps: Incidentally, the monograph http://press.princeton.edu/titles/8056.html contains nice illustrations too. See packages QRMlib, Copula (JSS: Enjoy the Joy of Copulas: With a Package copula, Vol. 21, Issue 4, Oct 2007), mlCopulaSelection, sbgcop and fCopulae on CRAN for implementations of copulae.
>-----Urspr?ngliche Nachricht-----
>Von: r-help-bounces at r-project.org
>[mailto:r-help-bounces at r-project.org] Im Auftrag von
>ngottlieb at marinercapital.com
>Gesendet: Mittwoch, 12. Dezember 2007 16:25
>An: R-help at r-project.org
>Betreff: [R] Need good Reference Material and Reading about
>Gaussian Copulas
>
>Can anyone advise me on some pratical papers or books
>On Gaussian Copulas? Anything in the genre of Copulas Dummies
>Would be a help.
>
>As simpe, and approachable with minimal pedantic style.
>Thanks,
>Neil
>--------------------------------------------------------
>
>
>
>This information is being sent at the recipient's
>reques...{{dropped:16}}
>
>______________________________________________
>R-help at r-project.org mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.
>
*****************************************************************
Confidentiality Note: The information contained in this ...{{dropped:10}}