Code covered by the BSD License  

Highlights from
Dynamic Copula Toolbox version 1

Be the first to rate this file! 25 Downloads (last 30 days) File Size: 79.6 KB File ID: #24385

Dynamic Copula Toolbox version 1

by

 

Estimation and simulation of Copula - GARCH and Copula Vines

| Watch this File

File Information
Description

The toolbox contains functions to estimate and simulate multivariate copula GARCH models and Copula Vines.
Supported copulas are the Gaussian and the T Copula. For the dynamic correlations, various specifications are supported.

Acknowledgements

Randraw inspired this file.

Required Products Optimization Toolbox
Statistics Toolbox
MATLAB release MATLAB 7.7 (R2008b)
Other requirements Andrew Patton's skew T toolbox, downloaded from his website (not necessary)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.

Contact us