Alternatives and similar repositories for stochvol:

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

• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆27Updated 3 months ago
• smeekes / bootUR
  R Package for Bootstrap Unit Root Tests
  ☆10Updated last month
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆32Updated this week
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆39Updated 3 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆31Updated 5 months ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated 5 months ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆46Updated 2 years ago
• chrstdanne / VARsignR
  Estimating VARs using sign restrictions in R
  ☆20Updated 8 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆14Updated last month
• alexiosg / rugarch
  Univariate GARCH models in R
  ☆26Updated 2 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆14Updated last year
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆30Updated 6 months ago
• bdemeshev / bvarr
  r package for bayesian VARs
  ☆22Updated 7 years ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆51Updated 4 months ago
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated last year
• bpfaff / vars
  Multivariate Time Series Models: VAR, SVAR and SVEC
  ☆43Updated 2 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆26Updated last year
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• tylerJPike / OOS
  Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …
  ☆9Updated 3 years ago
• JustinMShea / neverhpfilter
  R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
  ☆14Updated 2 years ago
• MatthieuStigler / tsDyn
  tsDyn
  ☆34Updated 4 months ago
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆11Updated 3 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 8 years ago
• xiaomanluo / ripwPaper
  Paper repository for "Double Robust Two-Way Fixed Effect Regression for Panel Data"
  ☆10Updated last year
• DylanB95 / statespacer
  statespacer: State Space Modelling in R
  ☆15Updated 2 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• dcascaldi / pandemic_priors
  A simple, easy, and flexible way of estimating Bayesian VARs taking into consideration the pandemic period, as a Minnesota prior with tim…
  ☆9Updated 9 months ago