[R-SIG-Finance] Skew t Copula (Luis Diego Fernández)

[Luisdiego fernandez gomez]

Hello,

I will appreciate some help to find references of Skew t Copula sintax for
R.
Is there a package or somethig prepared already?

I'm interested in estimation, simmulation and in constructing multivariate
densities.

Something similar to this (package copula):

norm.cop<-normalCopula(0.5,dim=2,dispstr="un")

marg<-c("norm","norm")
param<-list(list(mean=0,sd=1),list(mean=0,sd=1))

normales estándar
mvd.norm<-mvdc(copula=norm.cop,margins=marg,paramMargins=param)


Thanks!

Luis Diego Fernández

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