MikeWolf007 / covShrinkage
A package for shrinkage estimation of covariance matrices
☆12Updated 11 months ago
Alternatives and similar repositories for covShrinkage:
Users that are interested in covShrinkage are comparing it to the libraries listed below
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆12Updated last week
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 7 months ago
- Dynamic Factor Models for R☆31Updated 3 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 2 months ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 2 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆30Updated 3 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Expected Shortfall Backtesting☆12Updated last year
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- GAS models☆34Updated 3 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated 11 months ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆11Updated 2 years ago
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- R Package for data driven SVAR identification of impulse response functions☆45Updated last year
- ☆17Updated 2 years ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Time Series Modelling☆24Updated 5 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆10Updated 3 years ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- ☆10Updated 9 years ago
- A simple, easy, and flexible way of estimating Bayesian VARs taking into consideration the pandemic period, as a Minnesota prior with tim…☆9Updated 7 months ago
- Set of R functions for high-dimensional econometrics☆30Updated 4 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated last month
- Analysis of the Primiceri (REStud, 2005) model☆28Updated 4 months ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 7 months ago