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I would like to simulate from a t-copula with time-dependent correlation matrices.

Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 observations) for a 4 risk-factor portfolio (hence I have a 4x4x2000 array), and I would like the copularnd function to use a different correlation matrix for each time-step.

Is there any way to accomplish this?

many thanks!! Matthias

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You can use a for-loop on your correlation series.

          for i=1:2000
          simulation=copularnd('t',rho(i),NU,N));
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