support time varying copulas

maximenc / pycop

Python library for multivariate dependence modeling with Copulas

https://pypi.org/project/pycop/

MIT License

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Open jacktang opened 8 months ago

jacktang commented 8 months ago

Hello, any plan to support time varying copulas?

maximenc commented 5 months ago

Hi @jacktang, Not currently, but we could consider adding this if you have a specific model in mind for the dynamic copula parameter. Thank you.