Markov_Copula_code.​zip

Version 1.2.0.0 (40.5 KB) by Osvaldo Silva Filho
Markov Switching Copula Model
5.0
(3)
1.9K Downloads
Updated 6 Apr 2015

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Log-likelihood functions for Markov Switching Copula model presented in "Modelling Dependence Dynamics through Copulas with Regime Switching" with Flávio A. Ziegelmann and Michael J. Dueker, Insurance: Mathematics and Economics, Volume 50, Issue 3, May 2012, Pages 346-356.

Cite As

Osvaldo Silva Filho (2024). Markov_Copula_code.zip (https://www.mathworks.com/matlabcentral/fileexchange/46597-markov_copula_code-zip), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
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Markov_copula_code/

Version Published Release Notes
1.2.0.0

It was added for the copulas 15 and 25 a way to calculate robust standard errors by Godambe Info Matrix following Manthos Vogiatizoglou's Dynamic Copula Toolbox 3.0 suggestion. It work for any other LLF in the code.
1.1.0.0

Some missed .m files were added and also some correction in the main_example.m file.
1.0.0.0