Alternatives and similar repositories for factorcopula:

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

• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆15Updated 5 months ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆39Updated 3 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 8 years ago
• kjartako / MS_VAR
  Stan-code for Markov-switching vector autoregressive models
  ☆17Updated 4 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆15Updated last year
• 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
• tnagler / vinereg
  D-vine quantile regression
  ☆11Updated 2 months ago
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆14Updated 5 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 2 months ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated last week
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆12Updated 3 years ago
• tnagler / VineCopula
  Statistical inference of vine copulas
  ☆92Updated this week
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆31Updated 6 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• acguidoum / Sim.DiffProc
  An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It p…
  ☆13Updated last year
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆33Updated this week
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆12Updated 2 years ago
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆17Updated last month
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• MatthieuStigler / tsDyn
  tsDyn
  ☆34Updated 4 months ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 6 months ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆31Updated 5 months ago