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Dynamic Copula Toolbox version 1

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Dynamic Copula Toolbox version 1

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Estimation and simulation of Copula - GARCH and Copula Vines

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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 and Machine Learning Toolbox
MATLAB release MATLAB 7.7 (R2008b)
Other requirements Andrew Patton's skew T toolbox, downloaded from his website (not necessary)
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