GitHub repository: Akuukis/Markov-switching-model
Created: 2015-03-02T11:08:36Z
Description: Markov two state autoregressive (lag 1) bivariate multi-asset model. Was made for the course in school under time-pressure, therefore apologies for mess and lack of comments. Ask! Its working now for 2 states and 3 assets, and was programmed for any amount of states and assets (needs repair).