Regime Switching Copula (RSC) toolbox
Version 1.0.0 (3.45 MB) by
Manthos Vogiatzoglou
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)
The purpose of the toolbox is to estimate regime switching copula models. There are two main functions
% to define the model specifications
spec = RSCspec()
% to estimate the model parameters
[theta, LogL, evalmodel] = RSCFit(spec, data, method)
there is a user script that can drive the user through the toolbox
Cite As
Manthos Vogiatzoglou (2024). Regime Switching Copula (RSC) toolbox (https://www.mathworks.com/matlabcentral/fileexchange/68574-regime-switching-copula-rsc-toolbox), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2016a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
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RSC
RSC/time varying probs
RSC
Version | Published | Release Notes | |
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1.0.0 |
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