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 ORCID iD [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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