cran / rmgarch
This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: http://www.unstarched.net, https://github.com/alexiosg/rmgarch
☆15Updated last year
Alternatives and similar repositories for rmgarch:
Users that are interested in rmgarch are comparing it to the libraries listed below
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 8 months ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- GAS models☆34Updated 3 years ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 4 months ago
- ☆11Updated 2 months ago
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆19Updated 5 years ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- ☆11Updated 3 weeks ago
- Analysis of the Primiceri (REStud, 2005) model☆30Updated 5 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 4 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- TENET: Tail-Event driven NETwork Risk☆38Updated 3 weeks ago
- ☆85Updated 7 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- CoVaR estimation via quantile regression☆25Updated 7 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated last year
- R package for mixed frequency time series data analysis.☆77Updated 2 years ago
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- ☆69Updated 2 months ago
- Systemic Risk - CoVaR☆12Updated 4 years ago
- Bayesian Estimation of a TVP-VAR Model☆15Updated 6 years ago