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Copula-GARCH with rmgarch package
Le Hoang Van
·
Mar 6, 2016
·
r-sig-finance
Hi all, I'm using the rmgarch package to model asset returns using the function cgarchfit function. The latest version of this package currently supports Gaussian copula and Student-t copula with time varying correlation rho_t. I have read...
Multivariate student t distribution in rmgarch
Le Hoang Van
·
Jan 21, 2016
·
r-sig-finance
Hi Alexios, Is there a multivariate version of pdist (rugarch) that allows us to compute the joint probability of two returns, say, P(Rs < 0.01, Rt < 0.02) at a certain point of time? So I was trying to...
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