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Dynamic Copula Toolbox 2.0

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Dynamic Copula Toolbox 2.0

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25 Sep 2009 (Updated )

functions to estimates various copula models via MLE

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Description

Functions to estimate Copula - GARCH, copula vines and Gaussian copula Graphical models.

Required Products GARCH Toolbox
Optimization Toolbox
Statistics Toolbox
MATLAB release MATLAB 7.7 (R2008b)
Other requirements YALMIP with SDPT3 solver YALMIP can be downloaded from: http://control.ee.ethz.ch/~joloef/wiki/pmwiki.php the SDPT3 can be downloaded from: http://www.math.nus.edu.sg/~mattohkc/sdpt3.html
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Updates
28 Sep 2009

some files were saved twice, I deleted these double files. The toolbox should contain two files, "user functions" and "utilities functions", an m file "CopulaToolboxtutorial.m" and a pdf file named Dynamic Copula Toolbox

13 Oct 2009

Two files, setcopulallinputs.m and setcopulavinellinputs.m were accidentally saved twise in the toolbox, in both folders. The ones in the user defined functions folder are an older version and they should be deleted.

21 Oct 2009

A bug was fixed, thanks to Dirk Scheele

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