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Copula MV-GARCH vs. DCC
Posted: Tue Jul 05, 2011 10:13 am
by yngvi
Has anybody programmed Copula MV-GARCH using RATS?
I'm interested in doing a comparison with DCC.
Best regards,
Yngvi Hardarson
Re: Copula MV-GARCH vs. DCC
Posted: Thu Sep 08, 2011 9:25 am
by hongrc
Dear all,
I also want to use this model in empirical analysis. Who can provide this code ?
Best,
Dave Hung
Re: Copula MV-GARCH vs. DCC
Posted: Thu Jul 07, 2016 11:12 am
by yngvi
Re: Copula MV-GARCH vs. DCC
Posted: Fri Jul 08, 2016 3:05 pm
by TomDoan
We've posted an example at
copula.rpf.
Re: Copula MV-GARCH vs. DCC
Posted: Tue Jul 19, 2016 1:02 pm
by yngvi
Many thanks Tom.
I will take a look at your example.
Yngvi