Copula

This is the official implementation in Python for: Sovereign Risk Zones in Europe During and After the Debt Crisis.
Veni Arakelian, Petros Dellaportas, Roberto Savona, Marika Vezzoli.
Quantitative Finance 2019
[Paper]

BibTex

If you find this code useful, please consider citing:

@article{doi:10.1080/14697688.2018.1562197,
author = {Veni Arakelian and Petros Dellaportas and Roberto Savona and Marika Vezzoli},
title = {Sovereign risk zones in Europe during and after the debt crisis},
journal = {Quantitative Finance},
volume = {19},
number = {6},
pages = {961-980},
year  = {2019},
publisher = {Routledge},
doi = {10.1080/14697688.2018.1562197},
URL = {https://doi.org/10.1080/14697688.2018.1562197},
eprint = {https://doi.org/10.1080/14697688.2018.1562197}

Dependencies

Copula requires:

• Python (>=3.7)
• Numpy (>=1.16)
• Copulae (>=0.5.2)
• Scipy (>=1.4.1)
• Pandas (>=1.0.3)

Installation

git clone https://github.com/veniarakelian/copula.git
cd copula
pip3 install .

Run an artificial example

cd copula/copula
python3 laplacetest_volatility.py

• Note: change initial guess of theta in allfrank.py, allgumbel.py, allclayton.py if needed.
• By running the script the output will be saved in a newly created folder called "results" in the same directory.

Contributors

• Petropoulakis Panagiotis petropoulakispanagiotis@gmail.com