Christian M. Hafner and Hans Manner, "Dynamic Stochastic Copula Models: Estimation, Inference and Applications", Journal of Applied Econometrics, Vol. 27, No. 2, 2012, pp. 269-295. There are two zip files, each of which contains a number of ASCII files in DOS format. Unix/Linux users should use "unzip -a". The file hm-data.zip contains the two data sets, the CAC-Dax weekly returns (936 observations) and the Dow Jones-Nasdaq daily returns (2859 observations). Each file has two columns, the order of the variables being alphabetically as in the file name. The file hm-code.zip contains a number of Matlab files. In particular, it provides a function in Matlab that estimates the SCAR model called "Stochastic_Copula_MLE(u,v,copula)" and a similar function "SV_MLE_EIS(r,model)" to estimate a stochastic volatility model. The other functions are just auxiliary. The functions are documented, but if you encounter problems contact Hans Manner. You may need the James LeSage Econometrics toolbox for Matlab. Part of the code is based on a Gauss function by Roman Liesenfeld, who deserves full credit for the implementation of the efficient importance sampler. Han Manner: manner [AT] statistik.uni-koeln.de