vesGra / garch
DCC BEKK Factor Copula MSV
☆14Updated 7 years ago
Alternatives and similar repositories for garch
Users that are interested in garch are comparing it to the libraries listed below
Sorting:
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆23Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Updated 2 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆12Updated 7 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 4 years ago
- Generalized empirical likelihood and generalized method of moments estimators for Python☆11Updated 7 years ago
- ☆11Updated 3 months ago
- Estimation and forecasting of VAR model with the Lasso☆29Updated last week
- R/C++ implementation of Bayes VAR models☆18Updated 5 years ago
- This repo gather R functions to reproduce analyses on the paper: Hecq,A.,Margaritella,L.,Smeekes,S. (2019), "Granger Causality testing in…☆7Updated 4 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆12Updated 4 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 5 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 6 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- R Code CoVaR with Copula☆76Updated 7 months ago
- TVP VAR Workshop☆12Updated 5 years ago
- Analysis of the Primiceri (REStud, 2005) model☆31Updated 8 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆13Updated 6 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 11 months ago
- TENET: Tail-Event driven NETwork Risk☆46Updated 3 months ago
- Introduction to Structural VAR models☆12Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago