gregorkastner / stochvolLinks
Partial re-write of the R package stochvol to allow for asymmetry (leverage).
☆17Updated 8 months ago
Alternatives and similar repositories for stochvol
Users that are interested in stochvol are comparing it to the libraries listed below
Sorting:
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 7 months ago
- R Package for Bootstrap Unit Root Tests☆10Updated 2 months ago
- R package for Mixed-Frequency Bayesian VARs☆41Updated 4 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 9 months ago
- Dynamic Factor Models for R☆38Updated last month
- R/C++ implementation of Bayes VAR models☆21Updated 5 years ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated 8 months ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆21Updated 3 weeks ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- Paper repository for "Double Robust Two-Way Fixed Effect Regression for Panel Data"☆10Updated last year
- An R package for extreme quantile regression with random forests☆12Updated 7 months ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆44Updated 3 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- ddml: Double/Debiased Machine Learning in R☆20Updated 2 months ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- Univariate GARCH models in R☆28Updated last month
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆15Updated 2 years ago
- Penalized Poisson Pseudo Maximum Likelihood☆12Updated 5 months ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆53Updated last week
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- r package for bayesian VARs☆23Updated 7 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 8 months ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- Modelling extreme values☆15Updated last week
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13Updated last year
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- Convolution-type Smoothed Quantile Regression☆21Updated 2 years ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Updated 5 years ago