alexiosg / rmgarchLinks
Multivariate GARCH Models
☆16Updated 4 months ago
Alternatives and similar repositories for rmgarch
Users that are interested in rmgarch are comparing it to the libraries listed below
Sorting:
- Univariate GARCH models in R☆30Updated 6 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 years ago
- A package for shrinkage estimation of covariance matrices☆14Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 2 months ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 3 years ago
- An R package for using mixed-frequency GARCH models☆74Updated 2 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆30Updated 2 years ago
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆26Updated 7 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆27Updated 6 months ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- GAS models☆35Updated 4 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆52Updated 5 months ago
- R package for Mixed-Frequency Bayesian VARs☆43Updated 4 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- R/C++ implementation of Bayes VAR models☆21Updated 6 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated last year
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated last year
- Factor-Based Imputation for Missing Data☆60Updated 11 months ago
- ☆11Updated 10 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10Updated 3 years ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Updated 3 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆14Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Updated 9 months ago