Alexios,
Thanks for your reply.
Unfortunately, I do not have so much time to spend on this problem and as I
see, the rmgarch package has become quite complex. So I think I will
continue for the moment using the fgarch package which is more accessible
and would provide me an easier way to deal with other copulas than the
elliptic one.
However, I will of course keep an eye on your package and I am looking
forward to being able to use the cgarchsim function with other copulas, e.g.
archimedean copulas.
Thanks again,
Regards,
Ludovic
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