Re: [R] Need good Reference Material and Reading about Gaussian Copulas

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Wed, 12 Dec 2007 15:48:34 -0000

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.   

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>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
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