Bayesian Estimation of a TVP-VAR Model
☆20Jun 5, 2018Updated 7 years ago
Alternatives and similar repositories for Bayesian_TVPVAR
Users that are interested in Bayesian_TVPVAR are comparing it to the libraries listed below
Sorting:
- TVP VAR Workshop☆15Feb 26, 2020Updated 6 years ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆17Apr 11, 2022Updated 3 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Nov 14, 2020Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Sep 18, 2020Updated 5 years ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Jul 18, 2022Updated 3 years ago
- The Value at Risk (VaR) calculation, Python version☆11Nov 1, 2019Updated 6 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Apr 24, 2020Updated 5 years ago
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Feb 11, 2020Updated 6 years ago
- Testing for bubbles with R☆21Oct 19, 2019Updated 6 years ago
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆33Aug 15, 2024Updated last year
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆15May 4, 2025Updated 10 months ago
- Analysis of the Primiceri (REStud, 2005) model☆32Sep 5, 2024Updated last year
- ☆41Jan 22, 2019Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago
- TENET: Tail-Event driven NETwork Risk☆49Oct 21, 2025Updated 4 months ago
- The code for network autoregression model (NAR)☆10May 12, 2016Updated 9 years ago
- ☆10Apr 5, 2022Updated 3 years ago
- High performance, minimalist Go web framework☆13Feb 26, 2021Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆43May 25, 2019Updated 6 years ago
- Detection of abnormal patterns in electricity usage via time series forecasting☆11Apr 15, 2018Updated 7 years ago
- Powerful Rich Vehicle Routing Problem Simulator☆11Jan 25, 2025Updated last year
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Nov 7, 2022Updated 3 years ago
- This is the course papg of PhD level advanced macroeconomics.☆10Sep 13, 2021Updated 4 years ago
- 学科网课件全自动下载☆12Jan 21, 2026Updated last month
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆12Jun 5, 2022Updated 3 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆129Dec 17, 2024Updated last year
- Stata command to perform specification curve analysis and generate output plots.☆18Feb 5, 2025Updated last year
- 致力于多因子，AI策略，可盈利模型的研究☆13Apr 14, 2023Updated 2 years ago
- Codes used to estimate a Dynamic Stochastic General Equilibrium (DSGE) model using Bayesian Estimation techniques.☆12Jun 24, 2020Updated 5 years ago
- convertible bond pricing project based on Monte Carlo simulation☆18Jul 1, 2023Updated 2 years ago
- Calibration and Simulation Engine for Local Volatility Models☆15Dec 13, 2021Updated 4 years ago
- Matlab code for my paper "Copula Variational Bayes inference via information geometry", submitted to IEEE Trans. on information theory, 2…☆57Dec 21, 2018Updated 7 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Jan 21, 2022Updated 4 years ago
- MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711…☆18Apr 27, 2021Updated 4 years ago