Here is a pdf of the same notebook:
Here is a notebook that expalins how to code asymmetric Gaussian copulas in explicit detail:
Note: Updated the notebook to refer to c as a copula density, rather than a copula, the latter not being precisely correct.
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Excellent post Jonathan. Looking forward to similar ones in the near future. I have a question regarding the calculation of the returns. For example, the S&P 500 on February 1, 2010 was 1089.19 and on the next day it increased to 1103.32 but when applying the original formula the log return is -0.0128895. Shouldn't the formula be reversed? Is my reasoning correct or am I missing something? Thanks in advance for the clarification.
Great post. It is possible to define copulas with higher degrees of asymmetry than the Clayton, Frank or Gumbel-Howard varieties by taking [Theta] in the normal copula to be a function of space rather than a constant:
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