Dynamic Copula Toolbox

17 Pages Posted: 24 Apr 2017

See all articles by Manthos Vogiatzoglou

Manthos Vogiatzoglou

University of Macedonia - Department of Business Administration

Date Written: Novemeber 3, 2016

Abstract

Copula functions have become the standard tool in modelling multivariate dependence over the last decade hence there are toolboxes available for simulating and estimating copulas in the major statistical software such as R/S+, SAS and MATLAB. However recent developments in copulas like copula – GARCH models (Jondeau and Rockinger, 2006) and copula vines (Aas et al 2009) have not been incorporated so far to any statistical language/software. The dynamic copula toolbox we present here is a list of MATLAB functions specifically designed to estimate the two aforementioned classes of copulas and it is particularly oriented towards cases met in finance, although scientists from other fields can also use the toolbox without any major modifications. The toolbox is publicly available over the internet from the Mathworks site.

Keywords: Copula - GARCH, Copula - Vines, MATLAB

JEL Classification: C31, C46, C51, C58, C87

Suggested Citation

Vogiatzoglou, Manthos, Dynamic Copula Toolbox (Novemeber 3, 2016). Available at SSRN: https://ssrn.com/abstract=2956888 or http://dx.doi.org/10.2139/ssrn.2956888

Manthos Vogiatzoglou (Contact Author)

University of Macedonia - Department of Business Administration ( email )

Thessaloniki
Greece

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