kvasilopoulos / exuber

Related projects ⓘ

Alternatives and complementary repositories for exuber

• jstriaukas / midasml
  midasml package is dedicated to run predictive high-dimensional mixed data sampling models
  ☆38Updated last year
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆26Updated last year
• LeopoldoCatania / GAS
  GAS models
  ☆35Updated 3 years ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated 9 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆14Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated last month
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 3 years ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated 10 months ago
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated last year
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆30Updated last month
• KevinKotze / tsm
  Time Series Modelling
  ☆25Updated 3 months ago
• zhentaoshi / Boosted_HP_filter
  Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"
  ☆26Updated last year
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated last year
• gabrielrvsc / HDeconometrics
  Set of R functions for high-dimensional econometrics
  ☆30Updated 4 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆26Updated last year
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆10Updated 3 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆20Updated 6 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆38Updated 3 years ago
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆15Updated 3 weeks ago
• mpiktas / midasr
  R package for mixed frequency time series data analysis.
  ☆76Updated 2 years ago
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆30Updated 4 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 6 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆27Updated last month
• anre005 / pinbasic
  R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)
  ☆13Updated 2 years ago
• pmontman / fforma
  R package for Feature-based Forecast Model Averaging
  ☆31Updated 4 years ago
• ph-rast / bmgarch
  Bayesian Multivariate GARCH
  ☆16Updated 3 weeks ago
• MatthieuStigler / tsDyn
  tsDyn
  ☆34Updated 3 weeks ago