The joint-probability tag has no wiki summary.
17
votes
2answers
705 views
Tools in R for estimating time-varying copulas?
Are there libraries in R for estimating time-varying joint distributions via copulas?
Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
7
votes
3answers
749 views
How do I estimate the joint probability of stock B moving, if stock A moves?
I have two stocks, A and B, that are correlated in some way.
If I know (hypothetically) that stock A has a 60% chance of rising tomorrow, and I know the joint probability between stocks A and B, how ...
7
votes
1answer
310 views
Simulating the joint dynamics of a stock and an option
I want to know the joint dynamics of a stock and it's option for a finite number of moments between now and $T$ the expiration date of the option for a number of possible paths.
Let $r_{\mathrm{s}}$ ...
