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Dynamic Copula Toolbox version 1

version 1.0 (79.6 KB) by

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.

Comments and Ratings (1)

Daniel ZHUGE

MATLAB Release
MATLAB 7.7 (R2008b)
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/