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