Alternatives and similar repositories for vinereg:

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

• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated 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
• tnagler / VineCopula
  Statistical inference of vine copulas
  ☆92Updated last month
• 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 last month
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago
• alexiosg / rmgarch
  Multivariate GARCH Models
  ☆14Updated 3 months ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 7 months ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• BayerSe / l1qr
  Lasso Quantile Regression
  ☆31Updated 5 years ago
• stochasticresearch / copulastatistic
  All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"
  ☆12Updated 2 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆11Updated 6 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
• ahaeusser / echos
  Echo State Networks for Time Series Forecasting
  ☆16Updated last month
• itamarcaspi / rtadfr
  Testing for bubbles with R
  ☆20Updated 5 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• dhopp1 / nowcast_lstm
  LSTM neural networks for nowcasting economic data.
  ☆64Updated 11 months ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆20Updated 4 years ago
• cran / qrnn
   This is a read-only mirror of the CRAN R package repository. qrnn — Quantile Regression Neural Network
  ☆8Updated last year
• 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