tnagler / vinereg
D-vine quantile regression
☆11Updated last week
Alternatives and similar repositories for vinereg:
Users that are interested in vinereg are comparing it to the libraries listed below
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- CoVaR estimation via quantile regression☆24Updated 7 years ago
- Statistical inference of vine copulas☆91Updated last month
- ☆10Updated 9 years ago
- dynamic copula dcc garch estimate bank systematic risk☆17Updated 3 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…☆10Updated 11 months ago
- Estimation and forecasting of VAR model with the Lasso☆27Updated last year
- R Code CoVaR with Copula☆75Updated 4 months ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Echo State Networks for Time Series Forecasting☆11Updated last month
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated 11 months ago
- GAS models☆34Updated 3 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
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Multivariate GARCH Models☆14Updated last month
- Lasso Quantile Regression☆29Updated 5 years ago
- Playing around with time-varying parameter copulas☆12Updated 6 years ago
- R package for GARCH-MIDAS☆31Updated 5 years ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- Python implementation of the paper 'Outcome-Adaptive Lasso: Variable Selection for Causal Inference'☆15Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- Replication of key GARCH model papers☆33Updated 8 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆21Updated 4 months ago
- Testing for bubbles with R☆19Updated 5 years ago
- Systemic Risk - CoVaR☆12Updated 4 years ago