Alternatives and similar repositories for Bayesian_TVPVAR

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

• mte00 / TVP-VAR-Estimation-Workshop
  TVP VAR Workshop
  ☆14Updated 5 years ago
• QuantLet / TENET
  TENET: Tail-Event driven NETwork Risk
  ☆49Updated last month
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆77Updated last year
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆25Updated 7 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• GabauerDavid / ConnectednessApproach
  ☆104Updated 2 weeks ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆27Updated 2 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆109Updated 2 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• zoe454 / TVPVAR
  I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…
  ☆11Updated 6 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• dkaenzig / replicationOilSupplyNews
  Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021
  ☆16Updated 2 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 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
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
  A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…
  ☆18Updated last year
• anorring / Empirical-time-series-methods-for-macroeconomic-analysis
  Barcelona GSE Macroeconometrics Summer School 2018 course
  ☆15Updated 7 years ago
• szokeb87 / cs2005_pymc
  ☆14Updated 9 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 9 months ago
• european-central-bank / BEAR-toolbox
  The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…
  ☆126Updated 11 months ago
• bashtage / mfe-toolbox
  ☆109Updated 3 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆23Updated 5 years ago
• gabrielrvsc / ForecastingInflation
  ☆22Updated 3 years ago
• cykbennie / fbi
  Factor-Based Imputation for Missing Data
  ☆59Updated 10 months ago
• zhouweimin-econ / QuantMacro
  2018-2019 Quantitative Macroeconomics, UAB
  ☆77Updated 6 years ago
• cspun / MLE-SRISK
  This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…
  ☆13Updated 3 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆34Updated 3 weeks ago
• edavila / identifying_price_informativeness
  Replication Code for Identifying Price Informativeness
  ☆13Updated 4 years ago
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆32Updated last year
• romainlafarguette / granulariv
  Granular instrumental variables, using Gabaix and Koijen paper (2020)
  ☆20Updated 3 years ago