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Manthos Vogiatzoglou's Blog (1)

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 - 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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Added by Manthos Vogiatzoglou on August 20, 2018 at 12:00am — No Comments

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