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)

385 Downloads

Updated 19 Aug 2018

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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 (2022). 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 Linux

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