Code covered by the BSD License
by Manthos Vogiatzoglou
09 Jun 2009
Estimation and simulation of Copula - GARCH and Copula Vines
| Watch this File
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.
Randraw inspired this file.
Contact us