Alternatives and similar repositories for midaspy:

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

• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆59Updated 3 years ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆44Updated last year
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆26Updated 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
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆122Updated 4 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆26Updated 3 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆16Updated 10 months ago
• bashtage / mfe-toolbox
  ☆102Updated 3 years ago
• mk0417 / momentum
  Replication of momentum strategy
  ☆18Updated 2 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆86Updated 7 months ago
• xiubooth / ML_Codes
  Empirical Data and Some Simulation Codes
  ☆102Updated 5 years ago
• davidjsmith44 / NLP-Fed-Speeches
  Economic Impact of Federal Reserve Speeches and Press Releases
  ☆13Updated 5 years ago
• gabrielrvsc / ForecastingInflation
  ☆19Updated 2 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated last week
• 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
• 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
• GabauerDavid / ConnectednessApproach
  ☆87Updated last month
• zhangkelly014 / Nowcasting
  Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
  ☆11Updated 4 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆33Updated 5 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• ani1231091 / Real-Business-Cycle
  RBC Model Jupyter Notebook
  ☆10Updated 6 years ago
• cosimoizzo / DDFM
  Deep Dynamic Factor Models
  ☆18Updated last year
• andreachello / Applied-Econometric-Time-Series
  A repository to explore the concepts of applied econometrics in the context of financial time-series.
  ☆35Updated 5 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• gusamarante / dsgepy
  Calibrate, estimate and analyze linearized DSGE models.
  ☆34Updated 2 weeks ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• velikov-mihail / AssayingAnomalies
  MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
  ☆32Updated 2 years ago
• lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
  A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…
  ☆17Updated 7 months ago
• suahjl / localprojections
  This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due…
  ☆30Updated 4 months ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆70Updated 2 years ago