alexanderlange53 / BEKKs
☆11Updated 4 months ago
Alternatives and similar repositories for BEKKs:
Users that are interested in BEKKs are comparing it to the libraries listed below
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- TENET: Tail-Event driven NETwork Risk☆43Updated 2 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 5 months ago
- An R package for using mixed-frequency GARCH models☆70Updated 2 years ago
- ☆89Updated last month
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated 3 weeks ago
- ☆11Updated 2 months ago
- R package for Mixed-Frequency Bayesian VARs☆39Updated 3 years ago
- Systemic Risk - CoVaR☆13Updated 4 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- Factor-Based Imputation for Missing Data☆58Updated 2 months ago
- R package for Bayesian Vector Autoregression☆32Updated 4 years ago
- Analysis of the Primiceri (REStud, 2005) model☆31Updated 7 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆16Updated last year
- TVP VAR Workshop☆12Updated 5 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆32Updated 6 months ago
- Bayesian Estimation of a TVP-VAR Model☆16Updated 6 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- ☆19Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated last year
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 6 months ago
- Dynamic Factor Models for R☆33Updated 3 weeks ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 5 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆55Updated 5 months ago
- Spectral decomposition of spillover measures☆102Updated 2 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago