Alternatives and similar repositories for Stochastic-Volatility-Models

Users that are interested in Stochastic-Volatility-Models are comparing it to the libraries listed below

• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• jhlinplus / high_dim_favar_estimation
  Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
  ☆8Updated last year
• 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
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 6 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆32Updated 4 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆29Updated last month
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated 2 years ago
• marcinbielecki / Applied_Macroeconomics
  Applied Macroeconomics, a course taught at the University of Warsaw
  ☆20Updated 4 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆20Updated 5 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 11 months ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆29Updated 4 years ago
• chiyahn / rMSWITCH
  R package for Markov regime-switching models
  ☆11Updated 7 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• as4456 / Leo_Krippner_SSR
  Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
  ☆15Updated 4 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…
  ☆12Updated 4 years ago
• lnsongxf / Applied_Computational_Economics_and_Finance
  ECON457 2018 Applied Computational Economics and Finance
  ☆27Updated 7 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• PedroBSB / mlRFinance
  Machine Learning functions for Finance
  ☆9Updated 7 years ago
• anorring / Bayesian-times-series-methods
  Barcelona GSE Macroeconometrics Summer School 2018 courses
  ☆13Updated 6 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆23Updated 7 years ago
• yukai-yang / PSTR
  an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.
  ☆20Updated last week
• hannes101 / LeeStrazicichUnitRoot
  R code to perform the Lee Strazicich unit root test
  ☆9Updated 7 years ago
• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆18Updated 6 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆16Updated last year
• itamarcaspi / rtadfr
  Testing for bubbles with R
  ☆20Updated 5 years ago
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 10 months ago
• eurostat / econowcast
  Experimental tools (R) for Big Data econometrics nowcasting and early estimates
  ☆32Updated 4 years ago