Codes

A. Patton's Matlab code page contains interesting copula codes with dynamics following Patton(2006), which have been employed in Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach (2018).

This link provides a MATLAB example on how the dynamics of a Markov Switching Markov works in a mixture copula, where one state presents a Gaussian copula and the second state exhibits a Clayton copula. The weights of each copula evolve over time depending on the probability of being at each regime. This copula dynamic is employed in Structural change in the link between oil and the European stock market: implications for risk management (2019) and Disentangling the role of the exchange rate in oil-related scenarios for the European stock market (2020).

This link contains the MATLAB code to compute the climate transition risk metrics and capital buffers from The impact of climate transition risks on financial stability. A systemic risk approach (2022).

References:

Patton, A. J., 2006. Modelling asymmetric exchange rate dependence. International Economic Review 47 (2), 527-556.