Dynamic Copula Toolbox 3.0
Updates from version 2.0:
1. The marginal GARCH models are estimated from the toolbox functions (without the use of the econometrics/GARCH toolbox of MATLAB).
2. Hansen's Skew t distribution for the margins is supported.
3. Asymptotic standard errors are computed (Godambe info. matrix)
Cite As
Manthos Vogiatzoglou (2024). Dynamic Copula Toolbox 3.0 (https://www.mathworks.com/matlabcentral/fileexchange/29303-dynamic-copula-toolbox-3-0), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions >
- Computational Finance > Econometrics Toolbox > Conditional Variance Models >
Tags
Acknowledgements
Inspired: fitparp function
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Dynamic Copula Toolbox 3.0/
Version | Published | Release Notes | |
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1.3 | updates so it can be used as a toolbox |
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1.2.0.0 | Remove any older versions, install the new version and open HotToUseTheToolbox.m, then follow the instructions therein |
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1.1.0.0 | Just open the script HowToUseTheToolbox.m and follow the instructions therein. |
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1.0.0.0 |