Regime Switching Copula (RSC) toolbox

Versione 1.0.0 (3,45 MB) da Manthos Vogiatzoglou
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)
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Aggiornato 19 ago 2018

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The purpose of the toolbox is to estimate regime switching copula models. There are two main functions

% to define the model specifications
spec = RSCspec()

% to estimate the model parameters
[theta, LogL, evalmodel] = RSCFit(spec, data, method)

there is a user script that can drive the user through the toolbox

Cita come

Manthos Vogiatzoglou (2024). Regime Switching Copula (RSC) toolbox (https://www.mathworks.com/matlabcentral/fileexchange/68574-regime-switching-copula-rsc-toolbox), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2016a
Compatibile con qualsiasi release
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Versione Pubblicato Note della release
1.0.0