Code ralated to the paper titled: "Maximum likelihood estimation of multivariate regime switching Student-t copula model". Authors: Federico P. Cortese, Francesco Bartolucci and Fulvia Pennoni.

The repository contains the following files:

• RSest_C_RScop.R for simulating and estimating a RSStC model and for performing local and global decoding

• RSest_C.cpp with useful functions implemented in C++. This file must be saved on the working directory.

• sim_github.R to perform the simulations proposed in the paper

• boot_github.R to perform non-parametric bootstrap for the estimation of standard errors of the proposed RSStC model

• simdata5.txt: simulated 5-dimensional dataset of length 500 with a similar structure of that employed for the empirical illustration in the paper related to the log-retuns of five cryptocurrencies.