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Dynamic Copula Toolbox version 1

4.0 | 1 rating Rate this file 6 Downloads (last 30 days) File Size: 79.6 KB File ID: #24385 Version: 1.0

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 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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01 May 2016 Daniel ZHUGE

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