Markov_Copula_code.zip
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.
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Osvaldo Silva Filho (2024). Markov_Copula_code.zip (https://www.mathworks.com/matlabcentral/fileexchange/46597-markov_copula_code-zip), MATLAB Central File Exchange. Retrieved .
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Markov_copula_code/
Version | Published | Release Notes | |
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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. |
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1.1.0.0 | Some missed .m files were added and also some correction in the main_example.m file. |
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1.0.0.0 |