svines

Stationary Vine Copula Models

Last update: 18 January 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.4, 0.1.1, 0.1.3, 0.2.0, 0.2.1, 0.2.2, 0.2.3

Description

Provides functionality to fit and simulate from stationary vine copula models for time series, see Nagler et al. (2022) <doi:10.1016/j.jeconom.2021.11.015>.

Cites work

Stationary vine copula models for multivariate time series

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