dhopp1 / nowcasting_benchmarkLinks
Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
☆59Updated last year
Alternatives and similar repositories for nowcasting_benchmark
Users that are interested in nowcasting_benchmark are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- LSTM neural networks for nowcasting economic data.☆70Updated last year
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- 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
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆46Updated 3 months ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- ☆51Updated this week
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆15Updated 5 years ago
- Python Nowcasting☆131Updated 4 years ago
- Nowcasting☆223Updated 6 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆42Updated 2 years ago
- Factor-Based Imputation for Missing Data☆59Updated 9 months ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- ☆40Updated 6 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- R code for the IMF edX course on Macroeconomic Forecasting☆17Updated 9 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Resources for a PhD class module focused on anomalies.☆17Updated last year
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Material for the exercise sessions of master course Machine Learning for Economic Analysis @UZH☆86Updated 3 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago