Copula-GARCH

1 message · ahmed_shamiri at yahoo.com

Thu, Feb 5, 2009 7:14 PM #

Hello,
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I have two time series, and I want to obtain copula-GARCH. I know how to model the data with GARCH models but how to incorporate the GARCH model with copula is what I need.
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Can anyone give me some tips about the code to estimate the copula-GARCH?
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Thanks in advance
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Shamiri