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Dynamic Copula Toolbox version 1

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Dynamic Copula Toolbox version 1



Estimation and simulation of Copula - GARCH and Copula Vines

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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.

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)
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