How to simulate dynamically from COPULARND

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Matthias
Matthias on 4 Dec 2014
Edited: Matthias on 4 Dec 2014
Hi,
I would like to simulate from a t-copula with time-dependent correlation matrices.
Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 observations) for a 4 risk-factor portfolio (hence I have a 4x4x2000 array), and I would like the copularnd function to use a different correlation matrix for each time-step.
Is there any way to accomplish this?
many thanks!! Matthias

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