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regime switching for dynamic correlation
Posted: December 2nd, 2010, 11:00 am
by nadim216
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
regime switching for dynamic correlation
Posted: December 8th, 2010, 12:04 pm
by markspencer10
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!!!!
regime switching for dynamic correlation
Posted: December 14th, 2010, 6:53 pm
by nadim216
Dear markspenser10, thank you for your interest, but I am looking for a code to implement in matlab or other software.Regards,
regime switching for dynamic correlation
Posted: December 14th, 2010, 9:25 pm
by Hansi
Shouldn't be to hard to implement the first paper in Matlab.