Alternatives and similar repositories for DDFM:

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

• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆26Updated 3 years ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆44Updated last year
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆25Updated last year
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆70Updated 2 years ago
• GabauerDavid / ConnectednessApproach
  ☆87Updated last month
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆40Updated 4 years 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
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆26Updated 3 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆14Updated 4 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆11Updated last year
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• velikov-mihail / AssayingAnomalies
  MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
  ☆32Updated 2 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆13Updated 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
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• zhangkelly014 / Nowcasting
  Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
  ☆11Updated 4 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆86Updated 7 months ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 8 years ago
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆27Updated 6 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 5 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆33Updated 5 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago