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
- Univariate GARCH models in R☆26Updated last month
- Expected Shortfall Backtesting☆12Updated last year
- Dynamic factor model estimation for R☆23Updated 2 years ago
- R package for mixed frequency time series data analysis.☆77Updated 2 years ago
- 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
- Vector Autoregression augmented with deep learning.☆15Updated last year
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 2 months ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Time Series Modelling☆24Updated 6 months ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 2 years ago
- Dynamic Factor Models for R☆31Updated 4 months ago
- tsDyn☆34Updated 3 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
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 months ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- Analysis of the Primiceri (REStud, 2005) model☆29Updated 4 months ago
- r package for bayesian VARs☆22Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 4 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated 11 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆38Updated last year
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Convolution-type Smoothed Quantile Regression☆19Updated last year
- R Package for data driven SVAR identification of impulse response functions☆46Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- KFAS: R Package for Exponential Family State Space Models☆64Updated 4 months ago
- Bayesian Macroeconometrics in R☆86Updated 2 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago