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Manthos Vogiatzoglou
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Manthos Vogiatzoglou posted a blog post

MATLAB toolbox on regime switching copula estimation and simulation

Hi all.You may want to check out my code on regime switching copula models.The toolbox is designed to estimate the parameters of a regime switching copula model, assuming two regimes. Each regime can be described by any of the following five copulas:t - copulaGaussian CopulaClayton CopulaFrank CopulaSJC copulaThe correlation coefficient, rho, for the eliptical copulas and the copula parameter tau, for Clayton and Gumbel copulas can be either static or time varying. For the elliptical copulas…See More
Sep 11
Manthos Vogiatzoglou's blog post was featured

MATLAB toolbox on regime switching copula estimation and simulation

Hi all.You may want to check out my code on regime switching copula models.The toolbox is designed to estimate the parameters of a regime switching copula model, assuming two regimes. Each regime can be described by any of the following five copulas:t - copulaGaussian CopulaClayton CopulaFrank CopulaSJC copulaThe correlation coefficient, rho, for the eliptical copulas and the copula parameter tau, for Clayton and Gumbel copulas can be either static or time varying. For the elliptical copulas…See More
Sep 11
Manthos Vogiatzoglou updated their profile
Aug 20
Manthos Vogiatzoglou updated their profile photo
Aug 20

Profile Information

Short Bio
Mathematician and programming enthusiast. phD in financial econometrics
Field of Expertise
Other
Professional Status
Professor
Your Job Title:
college instructor
Interests:
Contributing, Networking, New venture, Other

Manthos Vogiatzoglou's Blog

MATLAB toolbox on regime switching copula estimation and simulation

Posted on August 20, 2018 at 12:00am 0 Comments

Hi all.

You may want to check out my code on regime switching copula models.The toolbox is designed to estimate the parameters of a regime switching copula model, assuming two regimes. Each regime can be described by any of the following five copulas:

  • t - copula
  • Gaussian Copula
  • Clayton Copula
  • Frank Copula
  • SJC copula

The correlation coefficient, rho, for the eliptical copulas and the copula parameter tau, for Clayton and…

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