kvasilopoulos / exuber
Econometric Analysis of Explosive Time Series
☆29Updated last year
Alternatives and similar repositories for exuber:
Users that are interested in exuber are comparing it to the libraries listed below
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- GAS models☆34Updated 3 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Expected Shortfall Backtesting☆12Updated last year
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆37Updated last year
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆18Updated 2 years ago
- Testing for bubbles with R☆19Updated 5 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 3 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Robust Econometric Inference for Predictive Regressions☆17Updated 3 years ago
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- D-vine quantile regression☆11Updated 2 months ago
- Vector Autoregression augmented with deep learning.☆15Updated last year
- ☆10Updated 9 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated 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 last week
- Multivariate GARCH Models☆14Updated 2 months ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated last month
- CRAN Task View: Empirical Finance☆13Updated 4 months ago
- R package AssetAllocation☆34Updated last year
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆26Updated 2 years ago