Alternatives and similar repositories for TVP_FAVAR_Kalman_Filter

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

• 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
• 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
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
  A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…
  ☆18Updated 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
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆131Updated 4 years ago
• mk0417 / momentum
  Replication of momentum strategy
  ☆18Updated 3 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 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
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• GabauerDavid / ConnectednessApproach
  ☆101Updated 8 months ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated last year
• rhameysayed / Spillovers-and-Connectedness
  ☆21Updated 2 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆109Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• romainlafarguette / granulariv
  Granular instrumental variables, using Gabaix and Koijen paper (2020)
  ☆20Updated 3 years ago
• ani1231091 / Real-Business-Cycle
  RBC Model Jupyter Notebook
  ☆10Updated 6 years ago
• Yoseph-Zuskin / midaspy
  Mixed Data Sampling (MIDAS) Modeling in Python
  ☆19Updated 5 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated 7 months ago
• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆18Updated 5 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
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆75Updated 2 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• QuantLet / TENET
  TENET: Tail-Event driven NETwork Risk
  ☆47Updated 9 months ago
• ZhangZhiHu / assetPricing
  ☆23Updated 8 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆98Updated last year
• Alexander-M-Dickerson / TRACE-corporate-bond-processing
  Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.
  ☆52Updated last year