Hi Alexios,
It is really better than just clarification, your help is really precious
and appreciated. Thanks.
Just a remark concerning point 5. It was just a lack of precision from my
side, since in the actual version of the model, I am already using the
command
copulaSpec <- mvdc(calibration$t.copula, calibration$models,sstdSpec)
to do what you call the "reverse-transform".
In a (near ?) future, I plan to try to understand all these multivariate
models you are providing in your rmgarch package (especially the DCC ones),
but for the moment, I will deal only with copula-garch models.
Once again, thank you very much, and have a nice weekend,
Ludovic
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