Introduction - If you have any usage issues, please Google them yourself
The toolbox contains functions to estimate and simulate multivariate copula GARCH models and Copula Vines.
Supported copulas are the Gaussian and the T Copula. For the dynamic correlations, various specifications are supported.
Dynamic Copula Toolbox. 1
.........................\estimators
.........................\..........\EstimateStaticTCopula.m
.........................\..........\EstimateTCanonicalVine.m
.........................\..........\EstimateTDVine.m
.........................\..........\EstimateTVCopulaCL.m
.........................\..........\EstimateTVNCopula.m
.........................\..........\EstimateTVTCopula.m
.........................\..........\EstimTCanonicalVine.m
.........................\..........\EstimTDVine.m
.........................\filtration
.........................\..........\estimate skewT - GJR.m
.........................\..........\filtReturnsGARCH.m
.........................\likelihoods
.........................\...........\CompositeLLNCopula.m
.........................\...........\CompositeLLTCopula.m
.........................\...........\NormalCopulaLogLikhood.m
.........................\...........\StaticTCopulaLL.m
.........................\...........\TCopCVineLL.m
.........................\...........\TCopDVineLL.m
.........................\...........\TCopulaLogLikhood.m
.........................\READ ME FIRST.txt
.........................\simulation
.........................\..........\dynamic copula
.........................\..........\..............\SimulateDccResiduals.m
.........................\..........\..............\SimulateDccResiduals_t.m
.........................\..........\vines
.........................\..........\.....\SimulateCVineNC.m
.........................\..........\.....\SimulateCVineTC.m
.........................\..........\.....\SimulateDVineNC.m
.........................\..........\.....\SimulateDVineTC.m
.........................\utilities
.........................\.........\general
.........................\.........\.......\DCCeq.m
.........................\.........\.......\empiricalCDF.m
.........................\.........\.......\ivecl.m
.........................\.........\.......\LogLstdErrors.m
.........................\.........\.......\Pattoneq.m
.........................\.........\.......\randraw.m
.........................\.........\.......\TVCeq.m
.........................\.........\.......\vecl.m
.........................\.........\vines
.........................\.........\.....\crIPmat.m
.........................\.........\.....\CVineStruct.m
.........................\.........\.....\DVineStruct.m
.........................\.........\.....\hfuncNC.m
.........................\.........\.....\hfuncTC.m
.........................\.........\.....\icrIPmat.m
.........................\.........\.....\invhfuncNC.m
.........................\.........\.....\invhfuncTC.m
.........................\.........\.....\ParCorrallpairs.m
.........................\.........\.....\pcfromcons.m
.........................\.........\.....\pcsubmatrix.m
license.txt