Just correcting my first comment above: I was not able to estimate a vine copula sequentially using “modelspec” (and the menu) and “fitModel” after that. I had to use “SeqFitCopVine.m” instead of “fitModel” and this is not specified in the Tutorial.
Excellent work! It has helped me a lot.
I just would like to mention two minor difficulties I had:
1) I was not able to estimate a vine copula sequentially using the menu. I had to use the function “SeqFitCopVine.m”.
2) I could not find “hfuncJC.m” in the third version of the toolbox. I think it’s missing. I had to copy this from version 2.0.
Thanks for your work.