Dynamic Copula Toolbox 3.0

Version 1.3 (236 KB) von Manthos Vogiatzoglou
Functions to estimate copula GARCH and copula Vine models.
4.8
(17)
8,2K Downloads
Aktualisiert 27. Nov 2014

Lizenz anzeigen

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)

Zitieren als

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

Kompatibilität der MATLAB-Version
Erstellt mit R2008b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Quellenangaben

Inspiriert: fitparp function

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Dynamic Copula Toolbox 3.0/

Version Veröffentlicht Versionshinweise
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