loelschlaeger / fHMMLinks
Hidden Markov models for finance
☆17Updated 3 months ago
Alternatives and similar repositories for fHMM
Users that are interested in fHMM are comparing it to the libraries listed below
Sorting:
- MAPA package for R☆15Updated last year
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆23Updated last year
- GAS models☆34Updated 4 years ago
- Dimension Reduction Methods for Multivariate Time Series☆61Updated 3 months ago
- Code to implement transfer entropy (Shannon and Renyi)☆23Updated 2 years ago
- Sparse estimation of large time series models☆31Updated 2 years ago
- Regularization Paths for Huber Loss Regression and Quantile Regression Penalized by Lasso or Elastic-Net☆10Updated 9 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 2 months ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆30Updated 2 years ago
- SynthETIC Claim Simulator☆12Updated last year
- Sorted L1 Penalized Estimation☆19Updated 2 weeks ago
- GRATIS: GeneRAting TIme Series with diverse and controllable characteristics☆76Updated last year
- R package for Feature-based Forecast Model Averaging☆35Updated 5 years ago
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆20Updated last year
- Convolution-type Smoothed Quantile Regression☆22Updated 2 years ago
- Econometric Analysis of Explosive Time Series☆29Updated last year
- KFAS: R Package for Exponential Family State Space Models☆68Updated 3 months ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆21Updated 3 months ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Updated 2 years ago
- R code for ''Bayesian method for causal inference in spatially-correlated multivariate time series''☆46Updated 5 years ago
- Regression model building and forecasting in R☆31Updated 2 weeks ago
- Full Bayesian Inference for Hidden Markov Models☆43Updated 6 years ago
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆45Updated last year
- Echo State Networks for Time Series Forecasting☆16Updated 2 months ago
- Bayesian Multivariate GARCH☆18Updated 10 months ago
- R package for inference on the Sharpe ratio.☆20Updated 8 months ago
- A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.☆56Updated last year
- Real Time Monitoring of Asset Markets with R☆32Updated 3 months ago
- Bayesian Inference of State Space Models☆46Updated 11 months ago
- Multivariate Autoregressive State-Space Modeling with R☆52Updated last month