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I am trying to implement a copula model using the Patton (2006) Matlab code. I am unable to determine the significance of the parameters. Does anyone know how i can generate the standard errors from the code. Similarly, if there is an alternative R copula code please assist. Thank you.

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  • $\begingroup$ For copula's, I've generally just used some sort of argsort transform (or see pandas rank) to do some empirical embedding of the data stackoverflow.com/questions/5284646/… then you can do whatever you want in either uniform or gaussian space. Not sure what Patton is doing. $\endgroup$ – mathtick Feb 29 '20 at 19:32

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