Hi everyone,I have got no reply at quant.stackexchange.com. So, I am taking my chance here. I am looking for a R library for modeling a Markov-Switching E-GARCH process.
I would like that that R library had the following features:
In fact, I would like to carry out a volatility analysis work à la Carole Alexander, as described in her book Market Risk Analysis Volume II: Practical Financial Econometrics.Thank you,Édouardhttp://quantcorner.wordpress.com/