Alternatives and similar repositories for DDFM

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

• geoluna / FactorModels
  A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…
  ☆18Updated 5 years ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆59Updated last year
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 4 years ago
• bank-of-england / InterpretableMLWorkflow
  ☆17Updated 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 …
  ☆27Updated 2 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆76Updated 2 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆131Updated 4 years ago
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆17Updated 7 months ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆14Updated last year
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆98Updated last year
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆77Updated last year
• bashtage / mfe-toolbox
  ☆109Updated 3 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆20Updated last year
• Buczman / CaviaR
  R code for CAViaR model
  ☆30Updated 3 years ago
• GabauerDavid / ConnectednessApproach
  ☆101Updated this week
• 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
• mk0417 / open-asset-pricing-download
  ☆51Updated last week
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆60Updated 2 years ago
• zhangkelly014 / Nowcasting
  Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
  ☆15Updated 5 years ago
• OpenSourceAP / CrossSectionDemos
  Example code of simple things one can do with our open-source asset pricing data
  ☆54Updated last year
• romainlafarguette / granulariv
  Granular instrumental variables, using Gabaix and Koijen paper (2020)
  ☆20Updated 3 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆34Updated 9 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆22Updated last year
• QuantEcon / dynamic_factor_models
  ☆40Updated 6 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 8 years ago