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:
The 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 rho is assumed to follow the DCC(1,1) specification, whereas for the Archimedean copulas, Kendall's tau is assumed to follow Patton's specification
The purpose of the toolbox is to estimate regime switching copula models. There are two main functions:
there is a user script that can drive the user through the toolbox.