Copula MV-GARCH vs. DCC

Discussions of ARCH, GARCH, and related models
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yngvi
Posts: 12
Joined: Sun Jul 03, 2011 6:40 pm

Copula MV-GARCH vs. DCC

Unread post by yngvi »

Has anybody programmed Copula MV-GARCH using RATS?
I'm interested in doing a comparison with DCC.

Best regards,
Yngvi Hardarson
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hongrc
Posts: 1
Joined: Tue Aug 30, 2011 9:10 pm

Re: Copula MV-GARCH vs. DCC

Unread post by hongrc »

Dear all,
I also want to use this model in empirical analysis. Who can provide this code ?

Best,

Dave Hung
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yngvi
Posts: 12
Joined: Sun Jul 03, 2011 6:40 pm

Re: Copula MV-GARCH vs. DCC

Unread post by yngvi »

The article at the link below is on this subject
http://link.springer.com/article/10.100 ... 012-0311-2
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Copula MV-GARCH vs. DCC

Unread post by TomDoan »

We've posted an example at copula.rpf.
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yngvi
Posts: 12
Joined: Sun Jul 03, 2011 6:40 pm

Re: Copula MV-GARCH vs. DCC

Unread post by yngvi »

Many thanks Tom.
I will take a look at your example.
Yngvi
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