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Manthos Vogiatzoglou
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Short Bio
Mathematician and programming enthusiast. phD in financial econometrics
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Other
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Professor
Your Job Title:
college instructor
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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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