cran / rmgarchLinks
This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: https://github.com/alexiosg/rmgarch
☆15Updated 5 months ago
Alternatives and similar repositories for rmgarch
Users that are interested in rmgarch are comparing it to the libraries listed below
Sorting:
- An R package for using mixed-frequency GARCH models☆74Updated 3 weeks ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: https://github.com/alexiosg/r…☆29Updated 7 months ago
- Multivariate GARCH Models☆17Updated 5 months ago
- Factor-Based Imputation for Missing Data☆62Updated last year
- ☆109Updated 4 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 3 years ago
- ☆47Updated 9 years ago
- ☆83Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆26Updated 8 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 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
- Spectral decomposition of spillover measures☆110Updated 2 years ago
- R package for mixed frequency time series data analysis.☆81Updated 10 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- ☆108Updated last month
- A curated list of Vector Autoregression resources☆63Updated 2 years ago
- ☆11Updated last year
- CoVaR estimation via quantile regression☆28Updated 8 years ago
- R package for Mixed-Frequency Bayesian VARs☆44Updated 4 years ago
- A package for shrinkage estimation of covariance matrices☆14Updated 2 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆36Updated 3 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Updated last year
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 7 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆54Updated last year
- R Code CoVaR with Copula☆77Updated last year
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago