I want to use either the skew normal copula or the skew t copula with a time-varying correlation matrix. But so far I haven't found any way to implement this either in R or Matlab.

Would anyone be able to help, does anyone maybe have a code available from some previous work? Or maybe do you know someone who works with copulas for risk management purposes?

In the literature I see that there are a few definitions available for these distributions (the skew t for example is defined differently in Azzalini & Capitanio (2003), Demarta, S. and A. J. McNeil (2005) or Sahu, Dey & Branco (2003)). Any definition of the skew normal or t you find in the literature is fine with me.

Any help is appreciated!

  • $\begingroup$ Can you check out Azzalini's webpage for resources on fitting skew normal to the data? azzalini.stat.unipd.it/SN/index.html. An extract from the page talks about R package 'sn' which seems relevant:- "Software: 'sn' package The 'sn' package (or library, here the term is used as a synonym) is a suite of functions for handling skew-normal and skew-t distributions, in the univariate and the multivariate case. The available facilities include various standard operations (density function, random number generation, etc), data fitting via MLE, plotting log-likelihood surfaces...." $\endgroup$
    – NaN
    Jan 12 '17 at 14:56

Have you look at copula package! Maybe you could get ideias from it https://www.jstatsoft.org/article/view/v021i04/v21i04.pdf


  • $\begingroup$ I've already looked at it but it doesn't include the implementation I'd like to use, i.e. the skew normal or t copula. Thanks for the reply anyway :) $\endgroup$
    – Kondo
    Jul 16 '16 at 15:24

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.