Title:
Dynamic_Copula_Toolbox._1
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Description: 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.
File list (Check if you may need any files):
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
