Dynamic Copula Toolbox version 1

Version 1.0.0.0 (79.6 KB) by Manthos Vogiatzoglou
Estimation and simulation of Copula - GARCH and Copula Vines
4.0
(1)
1.9K Downloads
Updated 9 Jun 2009

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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.

Cite As

Manthos Vogiatzoglou (2024). Dynamic Copula Toolbox version 1 (https://www.mathworks.com/matlabcentral/fileexchange/24385-dynamic-copula-toolbox-version-1), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: RANDRAW

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Dynamic Copula Toolbox. 1/estimators/

Dynamic Copula Toolbox. 1/filtration/

Dynamic Copula Toolbox. 1/likelihoods/

Dynamic Copula Toolbox. 1/simulation/dynamic copula/

Dynamic Copula Toolbox. 1/simulation/vines/

Dynamic Copula Toolbox. 1/utilities/general/

Dynamic Copula Toolbox. 1/utilities/vines/

Version Published Release Notes
1.0.0.0