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Matlab: estimating Markov Regime Switching models for correlations?

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mizhael
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Joined: September 25th, 2005, 4:46 pm

Matlab: estimating Markov Regime Switching models for correlations?

June 8th, 2011, 11:07 am

Matlab: estimating Markov Regime Switching models for correlations?Hi all,I have found a Matlab regime switching package on Mathworks website ...Anybody knows how to adapt it to modeling a 2-state Markov Regime Switching model for correlations between two assets?Thank you!
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RedEye
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Joined: July 10th, 2009, 12:22 am

Matlab: estimating Markov Regime Switching models for correlations?

June 21st, 2011, 3:37 pm

Bump, if anyone knows of a related MatLab archive of code examples, this might be helpful as well. Thanks
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Hansi
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Joined: January 25th, 2010, 11:47 am

Matlab: estimating Markov Regime Switching models for correlations?

June 21st, 2011, 5:54 pm

http://www.mathworks.com/matlabcentral/ ... global_nav
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