Paper code

“Modelling Dependence Dynamics through Copulas with Regime Switching” with Flavio A. Ziegelmann and Michael J. Dueker, Insurance: Mathematics and Economics, Volume 50, Issue 3, May 2012, Pages 346-356. (Matlab Code)

MATLAB – useful tools

Andrew Patton’s Computer code

Econometrics Toolbox: by James P. LeSage

Matlab User Community: File Exchange

Oxford MFE Toolbox: by Kevin Shepard