QuantEcon / dynamic_factor_models
☆39Updated 6 years ago
Alternatives and similar repositories for dynamic_factor_models
Users that are interested in dynamic_factor_models are comparing it to the libraries listed below
Sorting:
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- 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
- ☆18Updated 6 years ago
- A curated list of Vector Autoregression resources☆56Updated last year
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆45Updated last year
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆33Updated 9 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- A collection of tools for working with DSGE models in python, inspired by the R package gEcon☆29Updated last month
- R package for Bayesian Vector Autoregression☆32Updated 4 years ago
- Simple wrapper for machine learning models in the context of lead-lag projection modelling.☆25Updated 6 years ago
- ☆23Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆12Updated 5 years ago
- ☆25Updated 3 months ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 4 years ago
- Vector Autoregression augmented with deep learning.☆16Updated last year
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 5 years ago
- ☆37Updated last year
- Empirical Finance Course (PhD, Julia code)☆36Updated 5 months ago
- Code accompanying the Anatolyev, S. and Baruník, J., (2019). Forecasting dynamic return distributions based on ordered binary choice. Int…☆7Updated 6 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- Calibrate, estimate and analyze linearized DSGE models.☆34Updated this week
- Replication of key GARCH model papers☆35Updated 9 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 7 years ago