bonartm / factorcopulaLinks
R package for dependence modelling with factor copulas
☆12Updated 5 years ago
Alternatives and similar repositories for factorcopula
Users that are interested in factorcopula are comparing it to the libraries listed below
Sorting:
- R package for Mixed-Frequency Bayesian VARs☆44Updated 4 years ago
- Penalized Quantile Regression☆19Updated last month
- Stan-code for Markov-switching vector autoregressive models☆20Updated 5 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- R Package for data driven SVAR identification of impulse response functions☆52Updated 3 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆55Updated last year
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆16Updated 3 months ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated last year
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Dimension Reduction Methods for Multivariate Time Series☆61Updated 8 months ago
- ☆11Updated 11 months ago
- ☆18Updated 7 years ago
- An R package for using mixed-frequency GARCH models☆74Updated last week
- R package to estimate time-varying coefficient regressions☆19Updated 3 months ago
- tsDyn☆35Updated last year
- R package for mixed frequency time series data analysis.☆80Updated 9 months ago
- R Package for Bootstrap Unit Root Tests☆10Updated 8 months ago
- R interface to the vinecopulib C++ library☆35Updated 3 months ago
- Statistical inference of vine copulas☆96Updated 5 months ago
- A package for shrinkage estimation of covariance matrices☆14Updated last year
- Modelling extreme values☆15Updated last month
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated last year
- Dynamic Factor Models for R☆40Updated this week
- DoubleML - Double Machine Learning in R☆156Updated 9 months ago
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Updated 5 years ago
- Penalized Poisson Pseudo Maximum Likelihood☆14Updated 11 months ago
- Multivariate Autoregressive State-Space Modeling with R☆53Updated 4 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆31Updated 2 weeks ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆46Updated 3 years ago