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RSDC (version 1.1-2)

Regime-Switching Dynamic Correlation Models

Description

Estimation, forecasting, simulation, and portfolio construction for regime-switching models with exogenous variables as in Pelletier (2006) .

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Install

install.packages('RSDC')

Monthly Downloads

132

Version

1.1-2

License

GPL-3

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0

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0

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1

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Maintainer

David Ardia

Last Published

September 3rd, 2025

Functions in RSDC (1.1-2)

RSDC

RSDC: Regime-Switching Correlation Models for Portfolio Analysis
rsdc_estimate

Estimate Regime-Switching or Constant Correlation Model (Wrapper)
rsdc_hamilton

Hamilton Filter (Fixed P or TVTP)
rsdc_likelihood

Negative Log-Likelihood for Regime-Switching Correlation Models
rsdc_minvar

Minimum-Variance Portfolio (Rolling Weights)
rsdc_forecast

Forecast Covariance/Correlation Paths from an RSDC Model
greenbrown

Green vs Brown portfolio dataset
rsdc_simulate

Simulate Multivariate Regime-Switching Data (TVTP)
rsdc_maxdiv

Maximum-Diversification Portfolio (Rolling Weights)