regime switching for dynamic correlation

nadim216 · December 2nd, 2010, 11:00 am

Hello every body,I am new in regime switching models; I am intersted by the regime switching model for dynamic correlation (the model of Pelletier 2006), is it possible to find this code? I hope so...Thanks

markspencer10 · December 8th, 2010, 12:04 pm

Hi,I'm not sure below sources will help you out or not but I'm sure that you'll get at least something useful information.http://www4.ncsu.edu/~dpellet/papers/dy ... ier.pdfLet me know if you can something what are you looking for from above sources.Cheers!!!!

nadim216 · December 14th, 2010, 6:53 pm

Dear markspenser10, thank you for your interest, but I am looking for a code to implement in matlab or other software.Regards,

Hansi · December 14th, 2010, 9:25 pm

Shouldn't be to hard to implement the first paper in Matlab.