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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: |
1.7-0 |
| Depends: |
R (≥ 4.0) |
| Imports: |
Rdpack (≥ 2.0), DEoptim, mvtnorm, numDeriv, generics, graphics, parallel, stats, utils, Rcpp |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown, testthat (≥ 3.1.7), quadprog, Rsolnp, ggplot2 |
| Published: |
2026-08-04 |
| DOI: |
10.32614/CRAN.package.RSDC |
| Author: |
David Ardia  [aut,
cre, cph, fnd],
Benjamin Seguin [aut],
Roosevelt Ymele Nguemo
[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: |
yes |
| Language: |
en-US |
| Citation: |
RSDC citation info |
| Materials: |
NEWS |
| CRAN checks: |
RSDC results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=RSDC
to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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