Alternatives and similar repositories for midasr-user-guide:

Users that are interested in midasr-user-guide are comparing it to the libraries listed below

• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated this week
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆31Updated 5 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆14Updated last year
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆19Updated 4 years ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated last month
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 8 years ago
• mauep2025 / Global-Oil-Market
  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
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆30Updated 4 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• gabrielrvsc / ForecastingInflation
  ☆19Updated 2 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆32Updated 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…
  ☆11Updated 3 years ago
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆30Updated 6 months ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆44Updated last year
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆69Updated 2 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆32Updated this week
• tstockwe / Bayesian_TVPVAR
  Bayesian Estimation of a TVP-VAR Model
  ☆16Updated 6 years ago
• korobilis / DMA_FCI
  MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review
  ☆19Updated 5 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 5 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆18Updated 6 years ago