nickpoison / Stochastic-Volatility-ModelsLinks
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
☆13Updated 2 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
Sorting:
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- GAS models☆34Updated 4 years ago
- R package for Markov regime-switching models☆11Updated 7 years ago
- Time Series Modelling☆24Updated last month
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- 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
- This course will provide a basic, yet rigorous, introduction to Time Series Econometrics. This course is intended for upper-level undergr…☆17Updated 6 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆13Updated 7 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Updated 9 years ago
- Estimation and forecasting of VAR model with the Lasso☆31Updated 3 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆21Updated 3 months ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆32Updated 4 years ago
- ☆11Updated 10 years ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆41Updated last year
- Stata code for part 2 of the book Causal Inference, by Miguel Hernán and James Robins☆18Updated last year
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 8 years ago
- bvar with om☆14Updated 4 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 10 months ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 7 years ago
- Programs for Optimal Transport Methods in Economics☆33Updated 5 years ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago