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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)

8 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

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MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux