Dynamic Copula Toolbox 3.0

Versión 1.3 (236 KB) por Manthos Vogiatzoglou
Functions to estimate copula GARCH and copula Vine models.
4.8
(17)
8,2K descargas
Actualizado 27 nov 2014

Ver licencia

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)

Citar como

Manthos Vogiatzoglou (2024). Dynamic Copula Toolbox 3.0 (https://www.mathworks.com/matlabcentral/fileexchange/29303-dynamic-copula-toolbox-3-0), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2008b
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Agradecimientos

Inspiración para: fitparp function

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Dynamic Copula Toolbox 3.0/

Versión Publicado Notas de la versión
1.3

updates so it can be used as a toolbox
1.2.0.0

Remove any older versions, install the new version and open HotToUseTheToolbox.m, then follow the instructions therein
1.1.0.0

Just open the script HowToUseTheToolbox.m and follow the instructions therein.
1.0.0.0