Are there libraries in R for estimating time-varying joint distributions via copulas?
Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but it fits a static copula.
Answer
I think an extremely interesting strand of research on this topic is represented by extensions of vine copulas with time-varying parameters.
For vine copulas in general have a look at this site from the Technische Universität München:
Vine Copula Models
One of their research projects, which is the most relevant in this context, is:
Time varying vine copula models
It is well worth keeping an eye on since they implement their research models in R, concerning the current status of the implementation please have a look at this presentation here:
CDVine: An R-package for statistical inference of C- and D-vines
You'll find the respective package CDVine on CRAN: Here
The vignette can be found in the Journal of Statistical Software.
(I will update this post when the new code for the time-varying parameters becomes available.)
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