alexiosg / rmgarchLinks
Multivariate GARCH Models
☆17Updated 4 months ago
Alternatives and similar repositories for rmgarch
Users that are interested in rmgarch are comparing it to the libraries listed below
Sorting:
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 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
- Vector Autoregression augmented with deep learning.☆17Updated 2 years ago
- Univariate GARCH models in R☆30Updated 7 months ago
- An R package for using mixed-frequency GARCH models☆74Updated 2 weeks ago
- A package for shrinkage estimation of covariance matrices☆14Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆26Updated 8 years ago
- A curated list of Vector Autoregression resources☆62Updated 2 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 3 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆30Updated 3 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 2 months 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
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 3 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated 2 years ago
- GAS models☆35Updated 4 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆60Updated 2 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10Updated 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
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 3 years ago
- Factor-Based Imputation for Missing Data☆60Updated last year
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆27Updated 7 months ago
- CoVaR estimation via quantile regression☆28Updated 7 years ago