基于静态和时变copula函数的matlab代码实现

4 June 2006 This toolbox is a collection of Matlab functions that I wrote for my research on copulas for financial time series. The main papers from that research are listed below. Some simple example code is given in "copula_example_code.m", which is a good place to start. It loads in a small data set and estimates a variety of constant and time-varying copula models. If you find any bugs in this code please feel free to let me know: a.patton@lse.ac.uk Updates will be available from my web page: http://fmg.lse.ac.uk/~patton -Andrew Patton. References Granger, C.W.J, T. Ter�svirta, and A.J. Patton, 2006 Common Factors in Conditional Distributions for Bivariate Time Series, Journal of Econometrics, 132(1), 43-57. Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168. Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47(2), 527-556. Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 21(2), 147-173.