msperlin / GARCH-RACLinks
Repository for GARCH tutorial paper in RAC
☆31Updated 4 years ago
Alternatives and similar repositories for GARCH-RAC
Users that are interested in GARCH-RAC are comparing it to the libraries listed below
Sorting:
- Set of R functions for high-dimensional econometrics☆34Updated 5 years ago
- R package for Bayesian Vector Autoregression☆32Updated 4 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- R package for Mixed-Frequency Bayesian VARs☆41Updated 4 years ago
- Dynamic Factor Models for R☆38Updated last week
- R code for the IMF edX course on Macroeconomic Forecasting☆15Updated 9 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆101Updated 3 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated 7 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 8 months ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated 9 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 8 months ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- Factor-Based Imputation for Missing Data☆58Updated 5 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- GAS models☆34Updated 4 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆46Updated last year
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Univariate GARCH models in R☆27Updated last week
- R/C++ implementation of Bayes VAR models☆21Updated 5 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆20Updated this week
- Multivariate Time Series Models: VAR, SVAR and SVEC☆44Updated 3 years ago
- ☆19Updated 3 years ago
- Estimating VARs using sign restrictions in R☆20Updated 9 years ago
- tsDyn☆34Updated 7 months ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Updated 5 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆29Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 6 months ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago