stochasticresearch / copulastatistic
All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"
☆12Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for copulastatistic
- Inference for Gaussian copula factor models and its application to causal discovery.☆14Updated 4 years ago
- Statistical inference of vine copulas☆87Updated last week
- CoVaR estimation via quantile regression☆22Updated 6 years ago
- The code for network autoregression model (NAR)☆9Updated 8 years ago
- Lasso Quantile Regression☆27Updated 4 years ago
- D-vine quantile regression☆11Updated 9 months ago
- R Code CoVaR with Copula☆70Updated last month
- Regularization Paths for Huber Loss Regression and Quantile Regression Penalized by Lasso or Elastic-Net☆10Updated last week
- Julia codes in "High-dimensional vector autoregressive time series modeling via tensor decomposition"☆13Updated last year
- A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.☆17Updated last year
- Estimation and forecasting of VAR model with the Lasso☆26Updated last year
- ☆15Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. qrnn — Quantile Regression Neural Network☆8Updated 8 months ago
- Penalized Quantile Regression☆16Updated 3 weeks ago
- DCC BEKK Factor Copula MSV☆14Updated 6 years ago
- R code for ''Bayesian method for causal inference in spatially-correlated multivariate time series''☆45Updated 4 years ago
- Forecast uncertainty based on model averaging☆9Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 6 years ago
- ☆9Updated 6 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated 10 months ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Updated 5 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Regularized estimation of high-dimensional FAVAR models☆8Updated 9 months ago
- Dimension Reduction Methods for Multivariate Time Series☆56Updated last month
- GAS models☆35Updated 3 years ago
- Testing for bubbles with R☆19Updated 5 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆14Updated last year
- Bayesian Data Analysis demos for Matlab/Octave☆62Updated 4 years ago
- Bayesian Multivariate GARCH☆16Updated 3 weeks ago