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Thread: Gaussian Copula

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    Gaussian Copula




    Hey everyone!

    I have a homework in which I have to fit a certain gumbel copula and, in another task, a Gaussian copula on historical data and estimate parameters using maximum likelihood.
    As you can see in the attached task, I had to estimate parameters of a normal distribution first (model 2) and can use the with MLE estimated mu and sigma in Model 3 and 4.

    For model 3 I standardized the prices of the two assets between 0 and 1 and used matlab's copulafit to estimate the correlation parameter.

    I do not grasp model 4 at all and to be honest don't really know what parameters to estimate and how to proceed or even how to interpret the result from model 3. Can you give me an input? Many thanks in advance.

    Best,

    Mike
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