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 2 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☆71Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: https://github.com/alexiosg/r…☆29Updated 4 months ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 7 years ago
- ☆79Updated 10 months ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago
- Factor-Based Imputation for Missing Data☆59Updated 9 months ago
- ☆109Updated 3 years ago
- Multivariate GARCH Models☆15Updated 2 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated 11 months ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- Spectral decomposition of spillover measures☆109Updated 2 years ago
- R package for Mixed-Frequency Bayesian VARs☆42Updated 4 years ago
- ☆101Updated last week
- R Code CoVaR with Copula☆77Updated last year
- ☆11Updated 9 months ago
- R package for mixed frequency time series data analysis.☆80Updated 6 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated last year
- 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
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆42Updated 2 years ago
- A package for shrinkage estimation of covariance matrices☆13Updated last year
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Univariate GARCH models in R☆29Updated 4 months ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆29Updated 2 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- GAS models☆35Updated 4 years ago