| RSDC-package |
RSDC: Regime-Switching Correlation Models for Portfolio Analysis |
| greenbrown |
Green vs Brown portfolio dataset |
| RSDC |
RSDC: Regime-Switching Correlation Models for Portfolio Analysis |
| rsdc_estimate |
Estimate Regime-Switching or Constant Correlation Model (Wrapper) |
| rsdc_forecast |
Forecast Covariance/Correlation Paths from an RSDC Model |
| rsdc_hamilton |
Hamilton Filter (Fixed P or TVTP) |
| rsdc_likelihood |
Negative Log-Likelihood for Regime-Switching Correlation Models |
| rsdc_maxdiv |
Maximum-Diversification Portfolio (Rolling Weights) |
| rsdc_minvar |
Minimum-Variance Portfolio (Rolling Weights) |
| rsdc_simulate |
Simulate Multivariate Regime-Switching Data (TVTP) |
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