DanLAct / GARCH-SMC

Related projects ⓘ

Alternatives and complementary repositories for GARCH-SMC

• zoe454 / TVPVAR
  I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…
  ☆11Updated 5 years ago
• vesGra / garch
  DCC BEKK Factor Copula MSV
  ☆14Updated 6 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆12Updated 5 years ago
• forket86 / ANNEA
  ANN-based Expectations Algorithm applied to the Neoclassical Investment Model
  ☆10Updated last year
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆20Updated 6 years ago
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆10Updated 3 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆22Updated 6 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• anorring / Empirical-time-series-methods-for-macroeconomic-analysis
  Barcelona GSE Macroeconometrics Summer School 2018 course
  ☆14Updated 6 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated last month
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆9Updated 8 years ago
• vst / mgarchBEKK
  R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
  ☆14Updated last year
• anorring / Bayesian-times-series-methods
  Barcelona GSE Macroeconometrics Summer School 2018 courses
  ☆13Updated 6 years ago
• tkksnk / qmme
  Course website for Quantitative Methods for Monetary Economics
  ☆10Updated 5 years ago
• korobilis / DMA_FCI
  MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review
  ☆17Updated 5 years ago
• wmutschl / ReplicationDSGEHOS
  Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics
  ☆11Updated 2 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆22Updated last year
• szokeb87 / cs2005_pymc
  ☆12Updated 8 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 3 years ago
• christophe-gouel / RECS
  A solver for nonlinear, dynamic, stochastic, rational expectations equilibrium models
  ☆18Updated 2 years ago
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• FRBNY-DSGE / Replication-of-Online-Estimation-of-DSGE-Models
  ☆15Updated 3 years ago
• corybaird / DSGE_models
  Intro to DSGE models using Python and Dynare
  ☆12Updated 3 years ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated 9 months ago
• COPPsToolkit / COPPs
  A Toolkit for Computing Constrained Optimal Policy Projections
  ☆11Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 6 years ago
• caimichael / macrofoundations_notes
  Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.
  ☆15Updated 7 years ago
• MCHatcher / Solving_models_with_numerical_methods
  Solving models with numerical methods (economics)
  ☆11Updated last year
• LRondina / SVARs-Intro
  Introduction to Structural VAR models
  ☆10Updated 4 years ago