Alternatives and similar repositories for dynamic_factor_models:

Users that are interested in dynamic_factor_models are comparing it to the libraries listed below

• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆18Updated 5 years ago
• ani1231091 / Real-Business-Cycle
  RBC Model Jupyter Notebook
  ☆10Updated 6 years ago
• marcinbielecki / Applied_Macroeconomics
  Applied Macroeconomics, a course taught at the University of Warsaw
  ☆20Updated 4 years ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆27Updated 3 years ago
• kvasilopoulos / awesome-var
  A curated list of Vector Autoregression resources
  ☆54Updated last year
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆30Updated 4 years ago
• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆16Updated 4 years ago
• zhangkelly014 / Nowcasting
  Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
  ☆11Updated 4 years ago
• dcuoliveira / fgv-empirical-asset-pricing
  This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…
  ☆11Updated last year
• dkaenzig / replicationOilSupplyNews
  Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021
  ☆14Updated last year
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆15Updated last year
• FRBNY-DSGE / rstarBrookings2017
  Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…
  ☆32Updated 7 months ago
• gusamarante / dsgepy
  Calibrate, estimate and analyze linearized DSGE models.
  ☆33Updated 5 months ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 8 months ago
• ncachanosky / Macro-with-Python
  Macro with Python
  ☆54Updated 3 years ago
• GiulioRossetti94 / PyBondLab
  ☆23Updated 3 weeks ago
• korobilis / DMA_FCI
  MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review
  ☆19Updated 5 years ago
• eloualiche / RiskPremium
  Measuring the Market Risk Premium
  ☆18Updated 2 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 4 years ago
• forket86 / ANNEA
  ANN-based Expectations Algorithm applied to the Neoclassical Investment Model
  ☆10Updated last year
• WhitesPhD / ECOM151_2020
  Big Data Applications in Finance module (MSc level)
  ☆15Updated 3 years ago
• anorring / Empirical-time-series-methods-for-macroeconomic-analysis
  Barcelona GSE Macroeconometrics Summer School 2018 course
  ☆14Updated 6 years ago
• goutham-fin / MacroFinance
  ☆14Updated 3 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 …
  ☆25Updated last year
• AndreaPasqualini / numerical_methods_macroeconomics
  A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…
  ☆35Updated 3 years ago
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆27Updated 6 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆25Updated 3 years ago
• bank-of-england / MachineLearningCrisisPrediction
  ☆37Updated 9 months ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated 4 months ago