R help - Dec 2007 - 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
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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.
>
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www.defaultrisk.com <http://www.defaultrisk.com/>  has good resources
(albeit as applied to structured credit) - do a search on "CDO copula"

 

HTH

 

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of ngottlieb at marinercapital.com
Sent: Wednesday, December 12, 2007 10:25 AM
To: R-help at r-project.org
Subject: [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

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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.

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