jhlinplus / high_dim_favar_estimation
Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
☆8Updated last year
Alternatives and similar repositories for high_dim_favar_estimation:
Users that are interested in high_dim_favar_estimation are comparing it to the libraries listed below
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- The asymptotic normal distribution properties☆15Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- ☆10Updated 9 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- ☆28Updated 4 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 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…☆11Updated 3 weeks ago
- A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.☆17Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 5 months ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- R package for Bayesian Vector Autoregression☆31Updated 4 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆16Updated last year
- An R package for using mixed-frequency GARCH models☆70Updated 2 years ago
- Systemic Risk - CoVaR☆13Updated 4 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- The code for network autoregression model (NAR)☆10Updated 8 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 10 months ago
- ☆18Updated 2 years ago
- ☆39Updated 6 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 …☆25Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago