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

enter image description here

The dynamic equation of dependance parameter ρ is : enter image description here

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.

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

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