RSDC: Regime-Switching Dynamic Correlation Models
Estimation, forecasting, simulation, and portfolio construction for
regime-switching models with exogenous variables as in
Pelletier (2006) <doi:10.1016/j.jeconom.2005.01.013>.
Version: |
1.1-2 |
Depends: |
R (≥ 3.5) |
Imports: |
Rdpack (≥ 2.0), DEoptim, mvtnorm, stats, utils |
Suggests: |
knitr, rmarkdown, testthat (≥ 3.0.0), quadprog, Rsolnp |
Published: |
2025-09-03 |
Author: |
David Ardia [aut,
cre],
Benjamin Seguin [aut] |
Maintainer: |
David Ardia <david.ardia.ch at gmail.com> |
BugReports: |
https://github.com/ArdiaD/RSDC/issues |
License: |
GPL-3 |
URL: |
https://github.com/ArdiaD/RSDC |
NeedsCompilation: |
no |
Citation: |
RSDC citation info |
Materials: |
NEWS |
CRAN checks: |
RSDC results |
Documentation:
Downloads:
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