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.
1) Brett Sumsion of Dupont Capital Management kindly modified Marcelo's c++ filter to be used with the tvtp code here.
Add explanation to the tvtp matrix notation.
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