Alternatives and similar repositories for factorcopula

Users that are interested in factorcopula are comparing it to the libraries listed below

• tnagler / VineCopula
  Statistical inference of vine copulas
  ☆96Updated 2 months ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆57Updated 10 months ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆42Updated 4 years ago
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆18Updated 7 months ago
• mpiktas / midasr
  R package for mixed frequency time series data analysis.
  ☆77Updated 6 months ago
• kjartako / MS_VAR
  Stan-code for Markov-switching vector autoregressive models
  ☆20Updated 5 years ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆49Updated last month
• atsa-es / MARSS
  Multivariate Autoregressive State-Space Modeling with R
  ☆53Updated 3 weeks ago
• wbnicholson / BigVAR
  Dimension Reduction Methods for Multivariate Time Series
  ☆62Updated 4 months ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆38Updated last week
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• bpfaff / vars
  Multivariate Time Series Models: VAR, SVAR and SVEC
  ☆45Updated 3 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆33Updated last year
• helske / KFAS
  KFAS: R Package for Exponential Family State Space Models
  ☆68Updated 4 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated 2 weeks ago
• helske / walker
  Bayesian Generalized Linear Models with Time-Varying Coefficients
  ☆45Updated last year
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆31Updated last week
• nmecsys / nowcasting
  R package for Dynamic Factor Models with mixed frequencies and unbalanced panel
  ☆103Updated 3 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated 2 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated last year
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆17Updated 2 weeks ago
• DoubleML / doubleml-for-r
  DoubleML - Double Machine Learning in R
  ☆151Updated 5 months ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆23Updated last year
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 8 months ago
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• MatthieuStigler / tsDyn
  tsDyn
  ☆35Updated 11 months ago