https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Copulas-in-SAS-Vine-Realized-etc/m-p/410335#M2811 <P>The COPULA procedure supports five different kinds of copulas. <A href="http://go.documentation.sas.com/?docsetId=etsug&amp;docsetVersion=14.3&amp;docsetTarget=etsug_copula_overview.htm&amp;locale=en" target="_self">The documentation and example are here.</A>&nbsp;See also the papers</P> <UL> <LI><A href="http://www2.sas.com/proceedings/forum2008/321-2008.pdf" target="_self">Erdman and Sinko (2008)</A>&nbsp;</LI> <LI><A href="http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.225.7209&amp;rep=rep1&amp;type=pdf" target="_self">Chvosta, Erdman, and Little (2011)</A></LI> </UL> Fri, 03 Nov 2017 16:33:19 GMT Rick_SAS 2017-11-03T16:33:19Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Copulas-in-SAS-Vine-Realized-etc/m-p/410176#M2796 <P>I have a raw data set consisting of trades and quotes data. Based on some research papers few variables are added to the existing variables in the raw data set. The objective is to find out how significant is each variable in determining the price. I read somewhere that copulas (vine copulas) may be helpful, but am unable to locate any SAS document with codes, syntax, examples, etc. for copulas.&nbsp;</P><P>&nbsp;</P><P>Please share relevant links where copulas (vine copulas) in SAS are discussed.&nbsp;</P><P>&nbsp;</P><P>Am open to suggestions or alternatives to copula.</P><P>&nbsp;</P><P>Thank you.&nbsp;</P> Fri, 03 Nov 2017 11:51:25 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Copulas-in-SAS-Vine-Realized-etc/m-p/410176#M2796 dhir 2017-11-03T11:51:25Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Copulas-in-SAS-Vine-Realized-etc/m-p/410335#M2811 <P>The COPULA procedure supports five different kinds of copulas. <A href="http://go.documentation.sas.com/?docsetId=etsug&amp;docsetVersion=14.3&amp;docsetTarget=etsug_copula_overview.htm&amp;locale=en" target="_self">The documentation and example are here.</A>&nbsp;See also the papers</P> <UL> <LI><A href="http://www2.sas.com/proceedings/forum2008/321-2008.pdf" target="_self">Erdman and Sinko (2008)</A>&nbsp;</LI> <LI><A href="http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.225.7209&amp;rep=rep1&amp;type=pdf" target="_self">Chvosta, Erdman, and Little (2011)</A></LI> </UL> Fri, 03 Nov 2017 16:33:19 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Copulas-in-SAS-Vine-Realized-etc/m-p/410335#M2811 Rick_SAS 2017-11-03T16:33:19Z