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Regime Switching Model with Time Varying Transition Probabilities

version 1.5 (62 KB) by

Code for estimating a Markov Regime Switching Model with time varying transition probabilities.

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Editor's Note: Popular File 2014

The MATLAB code presented here is for estimating a Markov Regime Switching Model with time varying transition probabilities. The code is developed by Zhuanxin Ding based on the original code by Marcelo Perlin for estimating a Markov Regime Switching Model with constant transition probability matrix.

Comments and Ratings (5)

cym9008

Georgi

Georgi (view profile)

yan Chen

This looks cool. Thanks for making it available.

Updates

1.5

1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
2) Added Tomlab optimizer as an alternative optimization tool.

1.2

Add explanation to the tvtp matrix notation.
Add Tomlab as an alternative for optimization.

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MATLAB 7.14 (R2012a)

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