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!