Alternatives and similar repositories for factorcopula

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

• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆44Updated 4 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆31Updated last month
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆54Updated 3 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated 2 years ago
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆19Updated this week
• ropensci / dfms
  Dynamic Factor Models for R
  ☆43Updated this week
• lbelzile / mev
  Modelling extreme values
  ☆15Updated last month
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆14Updated 2 years ago
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated 4 months ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated last year
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆57Updated last year
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆13Updated 4 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated last year
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆77Updated last year
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆16Updated 3 months ago
• alexiosg / rugarch
  Univariate GARCH models in R
  ☆31Updated 7 months ago
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 6 months ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆36Updated 3 months ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆24Updated 2 years ago
• tomzylkin / penppml
  Penalized Poisson Pseudo Maximum Likelihood
  ☆14Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆23Updated 5 years ago
• nmecsys / nowcasting
  R package for Dynamic Factor Models with mixed frequencies and unbalanced panel
  ☆102Updated 3 years ago
• smeekes / bootUR
  R Package for Bootstrap Unit Root Tests
  ☆10Updated 9 months ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆74Updated 3 weeks ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 8 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆30Updated 2 years ago
• MatthieuStigler / tsDyn
  tsDyn
  ☆35Updated last year