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
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 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
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• itamarcaspi / rtadfr
  Testing for bubbles with R
  ☆20Updated 5 years ago
• tnagler / VineCopula
  Statistical inference of vine copulas
  ☆93Updated 3 months ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 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 3 months ago
• alexiosg / rmgarch
  Multivariate GARCH Models
  ☆14Updated last month
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 4 years ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆31Updated last month
• jhlinplus / high_dim_favar_estimation
  Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
  ☆9Updated last year
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated last year
• BayerSe / l1qr
  Lasso Quantile Regression
  ☆31Updated 5 years ago
• ahaeusser / echos
  Echo State Networks for Time Series Forecasting
  ☆16Updated this week
• cjporteo / ACTSC445-QERM-projects
  Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…
  ☆15Updated 4 years ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆13Updated 7 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆11Updated 6 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• pmontman / fforma
  R package for Feature-based Forecast Model Averaging
  ☆35Updated 5 years ago
• kvasilopoulos / exuber
  Econometric Analysis of Explosive Time Series
  ☆29Updated last year
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆16Updated last year
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 7 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 9 months ago