carloscinelli / NetworkRiskMeasuresLinks
Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.
☆71Updated 5 years ago
Alternatives and similar repositories for NetworkRiskMeasures
Users that are interested in NetworkRiskMeasures are comparing it to the libraries listed below
Sorting:
- R package for mixed frequency time series data analysis.☆77Updated 3 months ago
- International Trade Network Analysis in R. This package can clean and transform international trade data from WITS (http://wits.worldbank…☆54Updated last year
- Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020☆9Updated last year
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆39Updated last year
- Expected Shortfall Backtesting☆12Updated last year
- Estimation and forecasting of VAR model with the Lasso☆31Updated 2 months ago
- Dimension Reduction Methods for Multivariate Time Series☆59Updated last month
- R implementation to the netinf algorithm. Infers the most likely diffusion network from a set of events☆24Updated 6 years ago
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 3 weeks ago
- Leontief's Input-Output Model in R☆16Updated last year
- lvm4net Latent Variable Models for Networks☆11Updated 3 years ago
- GAS models☆34Updated 4 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16Updated last year
- R Package for Auto Regressive Distributed Lag time series regression.☆17Updated 3 years ago
- R package for doubly robust estimates of causal effects in high-dimensions using flexible Bayesian methods☆26Updated 7 months ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- tsDyn☆34Updated 8 months ago
- Penalized Quantile Regression☆15Updated 5 months ago
- ☆18Updated 6 years ago
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- ☆11Updated 5 months ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- Dynamic Factor Models for R☆38Updated last month
- Dynamic factor model estimation for R☆23Updated 2 years ago
- Double Machine Learning for Multiple Treatments☆41Updated 4 years ago
- Set of R functions for high-dimensional econometrics☆35Updated 5 years ago
- R package np (Nonparametric Kernel Smoothing Methods for Mixed Data Types)☆49Updated 5 months ago
- An R package for conducting event studies and a platform for methodological research on event studies.☆34Updated 2 years ago
- ☆42Updated 4 years ago