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
- ☆15Feb 22, 2016Updated 10 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 7 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆14Apr 17, 2021Updated 5 years ago
- The hourly demand and supply of electricity in the US☆26May 26, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- R scripts used in fpp3 book☆18Nov 20, 2021Updated 4 years ago
- 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
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆28Nov 29, 2022Updated 3 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- Python codes for GARCH-MIDAS model (estimation & forecast)☆15Jan 28, 2023Updated 3 years ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆19Jun 19, 2023Updated 3 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years 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.
- D-vine quantile regression☆11Dec 9, 2025Updated 7 months ago
- 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
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated 4 months 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
- 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
- Generalized empirical likelihood and generalized method of moments estimators for Python☆11Feb 12, 2018Updated 8 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆19Jul 19, 2021Updated 5 years ago
- Expected Shortfall Backtesting☆13Sep 3, 2023Updated 2 years ago
- Code for "The Trickling Up of Excess Savings" (Auclert, Rognlie, Straub 2023)☆13Feb 27, 2023Updated 3 years ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 8 years ago
- Bayesian Multivariate GARCH☆18Jul 7, 2026Updated 2 weeks ago
- ☆17Jun 3, 2024Updated 2 years ago
- Package implementing common state-space routines.☆89Jul 10, 2026Updated last week
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆21Aug 21, 2025Updated 11 months ago
- Covariance Matrix Estimation via Factor Models☆39Mar 25, 2019Updated 7 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- MSGARCH R Package☆85Dec 5, 2022Updated 3 years ago
- Statistical inference of vine copulas☆97Jul 10, 2026Updated last week
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated 2 years ago
- ☆13Aug 1, 2022Updated 3 years 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
- Pytorch code for learning an underlying PDE from given data.☆15Nov 24, 2021Updated 4 years ago
- ☆12Jul 18, 2025Updated last year