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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: |
1.1-2 |
| 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 |
| DOI: |
10.32614/CRAN.package.RSDC |
| 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:
Linking:
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https://CRAN.R-project.org/package=RSDC
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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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