LeopoldoCatania / GAS
GAS models
☆34Updated 3 years ago
Alternatives and similar repositories for GAS:
Users that are interested in GAS are comparing it to the libraries listed below
- Expected Shortfall Backtesting☆12Updated last year
- Univariate GARCH models in R☆26Updated last month
- Convolution-type Smoothed Quantile Regression☆20Updated last year
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Dynamic factor model estimation for R☆23Updated 2 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- tsDyn☆34Updated 3 months ago
- R package for mixed frequency time series data analysis.☆77Updated 2 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 3 months ago
- KFAS: R Package for Exponential Family State Space Models☆64Updated 5 months ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆26Updated 2 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- Dynamic Factor Models for R☆31Updated 4 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 4 months ago
- Vector Autoregression augmented with deep learning.☆15Updated last year
- r package for bayesian VARs☆22Updated 7 years ago
- Analysis of the Primiceri (REStud, 2005) model☆29Updated 5 months ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆38Updated last year
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- Penalized Quantile Regression☆16Updated last week
- Time Series Modelling☆24Updated 6 months ago