I want to construct some time-varying BBX copulas, however, I found that patron's package does not contain time-varying BBX copula.
Anybody know where I can download them?
$\begingroup$
$\endgroup$
6
-
$\begingroup$ DCC Copulas for Matlab here, though when I used this it was not set up how I would prefer. mathworks.com/matlabcentral/fileexchange/… $\endgroup$– JohnCommented May 7, 2014 at 17:04
-
$\begingroup$ Thank you very much! I also downloaded this code, but it only contains time-varying SJC and Clayton copulas. I also want to find time-varying BB1,BB2 or BB7 copulas. Do you know where I can find them? Thanks again. $\endgroup$– ericCommented May 7, 2014 at 17:09
-
$\begingroup$ I'm not familiar with the BB terminology. You might have to just write your own. $\endgroup$– JohnCommented May 7, 2014 at 17:13
-
$\begingroup$ Yes, I am trying to do so, but I am still facing one problem: Patton defined the equation for time-varying gumbel copula,which characterized the variation of its parameter. But I want to character the variation of its upper tail dependence coefficient just like time-varying SJC copula. How do you think about this idea? Thanks! $\endgroup$– ericCommented May 7, 2014 at 17:18
-
$\begingroup$ Haven't done any time-varying copula modeling in a while. Maybe post a separate question. $\endgroup$– JohnCommented May 7, 2014 at 17:24
|
Show 1 more comment
1 Answer
$\begingroup$
$\endgroup$
2
Implementations of the BBx families are available from the VineCopula R-package from CRAN. Spatially and spatio-temporally varying bivariate copulas are provided through the R-package spcopula from r-forge. Temporal support will need some additional work as it was not part of the initial design. The tuning of the copulas' parameter can be done via a dependence function that relates distance with Kendall's tau or Spearman's rho.
You will find the method "tailIndex" (from package copula) that provides the upper and lower tail coefficients for any copula object passed to it. Numerical inversion could be a first attempt to use it as parameter tuning function. However, be aware that the solution might not be unique (i.e. for two or more parameter families). Additional criteria will most likely be necessary for sensible fits.
-
$\begingroup$ Hi ben, thanks very much for your detailed reply. I want to use time-varying BB1,BB6 and BB7 copulas based on Patton(2006), however, I don't know how to code them. Do you know where I can find the matlab or R code for the time-varying BBX copulas? Thank very much for your help! $\endgroup$– ericCommented May 12, 2014 at 3:17
-
$\begingroup$ I am not aware of any ready-to-use implementation. The above link to VineCopula will provide you with a "static" version of the BBx copulas. You will have to wrap a time aware function around it that generates the right parameter. $\endgroup$– BenCommented May 12, 2014 at 8:51