Dynamic Copula Toolbox 3.0

version 1.3 (236 KB) by Manthos Vogiatzoglou
Functions to estimate copula GARCH and copula Vine models.

7.7K Downloads

Updated 27 Nov 2014

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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 (2022). 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
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: fitparp function

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