Stock Return (Fitting a Copula)
Hi , I need help figuring out how to fit a copula to my stock return data. I can't seem to determine a single copula that would fit my data even though I have proved that my data are not independent. I think my problem is trying to figure out the param I need to set for my copula to fit the data. Anybody has any idea how to do so? Is there a function I need to run before to my data before I run the gofCopula? returns.csv <http://r.789695.n4.nabble.com/file/n4664209/returns.csv> Thank you! system.time(srGof.t.mult <- gofCopula(claytonCopula(param=*????*, dim = 3), test1, method = "mpl",simulation="mult")) I have uploaded my data to this post. Any help would be appreciated. -- View this message in context: http://r.789695.n4.nabble.com/Stock-Return-Fitting-a-Copula-tp4664209.html Sent from the Rmetrics mailing list archive at Nabble.com.