RSDC

Authors David Ardia, Roosevelt Ymele Nguemo, Benjamin Seguin

Last update 4 August 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.1-2, 1.7-0

Description

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>.

Cites work

Regime switching for dynamic correlations

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