I have written a copula package for Rmetrics.
It covers the contents from Evanesce, but it is build in a little bit different way. When testing is finished it will become part of Rmetrics / fExtremes in the near future.
DiethelmWuertz
J W wrote:
Is anyone already in the process of developing copula estimation methods or porting Prof. Rene Carmona's EVANESCE (http://www.orfe.princeton.edu/~rcarmona/SVbook/svbook.html)?
JW
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