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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>.

Versions across snapshots

VersionRepositoryFileSize
1.1-2 rolling linux/jammy R-4.5 RSDC_1.1-2.tar.gz 707.9 KiB
1.1-2 rolling linux/noble R-4.5 RSDC_1.1-2.tar.gz 707.9 KiB
1.1-2 rolling source/ R- RSDC_1.1-2.tar.gz 654.8 KiB
1.1-2 latest linux/jammy R-4.5 RSDC_1.1-2.tar.gz 707.9 KiB
1.1-2 latest linux/noble R-4.5 RSDC_1.1-2.tar.gz 707.9 KiB
1.1-2 latest source/ R- RSDC_1.1-2.tar.gz 654.8 KiB
1.1-2 2026-04-26 source/ R- RSDC_1.1-2.tar.gz 654.8 KiB
1.1-2 2026-04-23 source/ R- RSDC_1.1-2.tar.gz 654.8 KiB
1.1-2 2026-04-09 windows/windows R-4.5 RSDC_1.1-2.zip 710.6 KiB

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