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:
| Reference manual: | RSDC.html , RSDC.pdf |
Downloads:
| Package source: | RSDC_1.1-2.tar.gz |
| Windows binaries: | r-devel: RSDC_1.1-2.zip, r-release: RSDC_1.1-2.zip, r-oldrel: RSDC_1.1-2.zip |
| macOS binaries: | r-release (arm64): RSDC_1.1-2.tgz, r-oldrel (arm64): RSDC_1.1-2.tgz, r-release (x86_64): RSDC_1.1-2.tgz, r-oldrel (x86_64): RSDC_1.1-2.tgz |
Linking:
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