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:
| Reference manual: | RSDC.html , RSDC.pdf |
| Vignettes: |
Getting started with RSDC (source, R code) |
Downloads:
| Package source: | RSDC_1.7-0.tar.gz |
| Windows binaries: | r-devel: RSDC_1.7-0.zip, r-release: RSDC_1.7-0.zip, r-oldrel: RSDC_1.7-0.zip |
| macOS binaries: | r-release (arm64): RSDC_1.7-0.tgz, r-oldrel (arm64): RSDC_1.7-0.tgz, r-release (x86_64): RSDC_1.7-0.tgz, r-oldrel (x86_64): RSDC_1.7-0.tgz |
| Old sources: | RSDC archive |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=RSDC to link to this page.