An R package for the stochastic simulation of processes with any marginal distribution and correlation structure

Robust Estimation of Copulas by Maximum Mean Discrepancy

Gradient-Boosted Estimation of Generalized Linear Models for Conditional Vine Copulas

Estimation and inference for conditional copulas models

Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.

The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.