alexiosg / rmgarch
Multivariate GARCH Models
☆14Updated 3 weeks ago
Alternatives and similar repositories for rmgarch:
Users that are interested in rmgarch are comparing it to the libraries listed below
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 7 months ago
- GAS models☆34Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 8 months ago
- Replication of key GARCH model papers☆32Updated 8 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆41Updated last year
- Univariate GARCH models in R☆25Updated 3 weeks ago
- ☆22Updated this week
- Vector Autoregression augmented with deep learning.☆14Updated last year
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- ☆17Updated 2 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated 11 months ago
- ☆39Updated 5 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 …☆23Updated last year
- A curated list of Vector Autoregression resources☆54Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.