Alternatives and similar repositories for copulastatistic

Users that are interested in copulastatistic are comparing it to the libraries listed below

• xqnwang / fuma
  Forecast uncertainty based on model averaging
  ☆9Updated 4 years ago
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• tnagler / vinereg
  D-vine quantile regression
  ☆11Updated 4 months ago
• tnagler / VineCopula
  Statistical inference of vine copulas
  ☆92Updated 2 months ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 9 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• DanLAct / GARCH-SMC
  Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
  ☆10Updated 5 years ago
• ph-rast / bmgarch
  Bayesian Multivariate GARCH
  ☆18Updated 7 months ago
• hanase / BMA
  R package for Bayesian model averaging
  ☆38Updated 4 months ago
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 years ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆12Updated 7 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 4 months ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• yukai-yang / PSTR
  an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.
  ☆20Updated last week
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 8 months ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆29Updated last month
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• 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
• vesGra / garch
  DCC BEKK Factor Copula MSV
  ☆14Updated 7 years ago
• itamarcaspi / rtadfr
  Testing for bubbles with R
  ☆20Updated 5 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆20Updated 5 years ago
• BayerSe / l1qr
  Lasso Quantile Regression
  ☆31Updated 5 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• hagijyun / Time_Series_Analysis_4SSM_R_Stan
  Time Series Analysis for the State-Space Model with R/Stan
  ☆24Updated 3 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated 2 months ago
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆15Updated 3 months ago
• jhlinplus / high_dim_favar_estimation
  Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
  ☆8Updated last year
• CY-dev / hqreg
  Regularization Paths for Huber Loss Regression and Quantile Regression Penalized by Lasso or Elastic-Net
  ☆10Updated 6 months ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year