# Gaussian Time-varing copula in R

I want to estimate the parameters of time-varing Normal Copula using R. A bivariate Normal copula is defined as following:

The dynamic equation of dependance parameter ρ is :

So I need the identify the parameters ω,α and β. To be more specific, I wander if there is Patton's code in R which allows the dependence parameter ρ to vary over time.

• What is the model for the above formulas? Do you have a refernence? What is $\Lambda$? Please provide more details. – Richard Oct 9 '15 at 11:39
• see here: quant.stackexchange.com/a/7022/12 – vonjd Oct 9 '15 at 13:07
• this is my reference Filho et al (2013) CDVine R package does not provide time-varing Copula code. – Nourhaine Nefzi Oct 9 '15 at 14:02
• So you're saying that the packages mentioned in the linked answer are not sufficient? – Bob Jansen Oct 9 '15 at 14:22
• Also, @Nourhaine, you seem to have two profiles, please ask them to be merged. – Bob Jansen Oct 9 '15 at 14:23