R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
☆13Dec 4, 2022Updated 3 years ago
Alternatives and similar repositories for Stochastic-Volatility-Models
Users that are interested in Stochastic-Volatility-Models are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Fourier-Bayesian estimation of stochastic volatility models☆17Sep 23, 2021Updated 4 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Apr 11, 2026Updated last month
- The hourly demand and supply of electricity in the US☆26May 26, 2021Updated 5 years ago
- R scripts used in fpp3 book☆18Nov 20, 2021Updated 4 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Fit Bayesian models with a focus on spillover effects. Implements linear specifications (with or without shrinkage), allows for spatial l…☆12Sep 2, 2023Updated 2 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- R package for Markov regime-switching models☆12Jan 23, 2018Updated 8 years ago
- A package for shrinkage estimation of covariance matrices☆16Feb 8, 2024Updated 2 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- ☆11Jun 9, 2021Updated 5 years ago
- Python codes for GARCH-MIDAS model (estimation & forecast)☆15Jan 28, 2023Updated 3 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 5 months ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Materials for R/Tidyverse tutorials☆13Jan 4, 2023Updated 3 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 4 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years ago
- ☆11Mar 31, 2015Updated 11 years ago
- 遗传算法的C++实现，计算函数的最大值☆11Jun 5, 2018Updated 8 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Mar 18, 2025Updated last year
- Machine Learning from the perspective of a Statistician using R☆16Apr 19, 2021Updated 5 years ago
- Generalized empirical likelihood and generalized method of moments estimators for Python☆11Feb 12, 2018Updated 8 years ago
- Stock investment can be one of the ways to manage one’s asset. Technical analysis is sometimes used in financial markets to assist trader…☆14Sep 30, 2020Updated 5 years ago
- Open source password manager - Proton Pass • AdSecurely store, share, and autofill your credentials with Proton Pass, the end-to-end encrypted password manager trusted by millions.
- Topics in Distributional Macroeconomics @ Tinbergen Institute☆13Mar 6, 2025Updated last year
- Code for "The Trickling Up of Excess Savings" (Auclert, Rognlie, Straub 2023)☆13Feb 27, 2023Updated 3 years ago
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated 2 months ago
- Kernel density estimation based on vine copulas☆16Sep 4, 2025Updated 9 months ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- ☆17Jun 3, 2024Updated 2 years ago
- Practical Data Wrangling, published by Packt☆18Jan 30, 2023Updated 3 years ago
- Python DSGE models, Euler Equation, Math review (matrix, calc), Cash advance model☆13Apr 29, 2026Updated last month
- An R package for using mixed-frequency GARCH models☆76Jan 13, 2026Updated 4 months ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Advanced LTCC course in StatisticsThis course will provide an overview of Monte Carlo methods when used for problems in Statistics. After…☆35Nov 29, 2022Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆38Mar 25, 2019Updated 7 years ago
- MSGARCH R Package☆84Dec 5, 2022Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated last year
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆21Aug 21, 2025Updated 9 months ago
- Statistical inference of vine copulas☆97Aug 7, 2025Updated 10 months ago
- The class project was to use text mining of Apple investment bank reports and company releases to document their impact on the stock pric…☆10Oct 4, 2019Updated 6 years ago