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Copula Estimation - One Step Maximum Likelihood

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Hello All,

I am trying to replicate a paper on copulas, and I have difficulties seting up the optimization problem. The marginals are modelled with SWARCH(2,1) model, and I need to fit a switching parameters copula. Since the marginal and copula parameters switch at the same time, I cannot use the two-step estimation procedure which I have used so far. Can anyone explain me how the one step method should work in practice?

Thank you in advance!

Best,
Deyan
0
Reply Deyan 1/12/2010 3:06:04 AM

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