alexiosg / rmgarch
Multivariate GARCH Models
☆14Updated last month
Alternatives and similar repositories for rmgarch:
Users that are interested in rmgarch are comparing it to the libraries listed below
- GAS models☆34Updated 3 years ago
- Univariate GARCH models in R☆26Updated last month
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 8 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆43Updated last year
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- Replication of key GARCH model papers☆33Updated 8 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Vector Autoregression augmented with deep learning.☆15Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 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…☆10Updated last year
- A package for shrinkage estimation of covariance matrices☆12Updated 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.☆28Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- ☆10Updated 9 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 4 months ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago
- ☆18Updated 2 years ago
- CoVaR estimation via quantile regression☆25Updated 7 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 9 months ago
- ☆23Updated 2 weeks ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 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 …☆25Updated last year
- ☆39Updated 6 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- ☆18Updated 5 years ago