Does anyone have the codes of Patton (2006) time-varying Copula in R?
This zip file contains a collection of Matlab functions that I wrote for my research on copulas for financial time series (Patton 2006a, Patton 2006b, Patton 2004, Granger et al. 2006, Patton 2007). Some simple example code is given in "copula_example_code.m". A table of contents is given in "contents.xls". Briefly, the toolbox contains CDFs, PDFs, log-likelihoods and random number generators for many common bivariate copulas, including the Clayton, Gumbel, Normal, Student's t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas. Basic code for time-varying Normal, Gumbel and SJC copulas is included. Some helper functions are also included. If you find any bugs in this code please let me know: email@example.com.