Alternatives and similar repositories for BEKKs:

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

• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆23Updated 7 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆20Updated 4 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 month
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 3 months ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆70Updated 2 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆40Updated 4 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆32Updated 6 months ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• GabauerDavid / ConnectednessApproach
  ☆91Updated 2 months ago
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆31Updated 8 months ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆18Updated 5 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆48Updated 2 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• 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
• QuantLet / TENET
  TENET: Tail-Event driven NETwork Risk
  ☆46Updated 3 months ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆35Updated last month
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆32Updated 4 years ago
• tstockwe / Bayesian_TVPVAR
  Bayesian Estimation of a TVP-VAR Model
  ☆17Updated 6 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 7 months ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated 7 months ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• lucabarbaglia / FiGASR
  Lexicon-based Sentiment Analysis for Economic and Financial Applications in R
  ☆24Updated last year
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• mte00 / TVP-VAR-Estimation-Workshop
  TVP VAR Workshop
  ☆12Updated 5 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• chrstdanne / VARsignR
  Estimating VARs using sign restrictions in R
  ☆20Updated 9 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