Good day,
I wanted to ask if anyone would have pointers or suggestions into
implementing a copula DCC GARCH model that uses a non-Normal and Student
copula in R. I am trying to view an independence structure and have had an
issue with implementing this trying to avoid using the two copulas included
as part of the RMGARCH package. If a Skewed Student copula were to be
implement-able that I think would work as well.
Thanks,
Thabani
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