[R-SIG-Finance] rugarch and copulas

ludovic.theate ludovic.theate at gmail.com
Thu Nov 8 16:33:04 CET 2012


Alexios,

Thanks for your reply.

Unfortunately, I do not have so much time to spend on this problem and as I
see, the rmgarch package has become quite complex. So I think I will
continue for the moment using the fgarch package which is more accessible
and would provide me an easier way to deal with other copulas than the
elliptic one.

However, I will of course keep an eye on your package and I am looking
forward to being able to use the cgarchsim function with other copulas, e.g.
archimedean copulas.

Thanks again,

Regards,

Ludovic



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