Alternatives and similar repositories for gasmodel

Users that are interested in gasmodel 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
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated 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
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆48Updated 2 years ago
• DylanB95 / statespacer
  statespacer: State Space Modelling in R
  ☆15Updated 2 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• itamarcaspi / rtadfr
  Testing for bubbles with R
  ☆20Updated 5 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆37Updated 2 weeks ago
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆16Updated last year
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆16Updated last year
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆15Updated 3 months ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 11 months ago
• zhentaoshi / Boosted_HP_filter
  Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"
  ☆29Updated 2 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆41Updated 4 years ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated 8 months ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆45Updated last year
• alexiosg / rugarch
  Univariate GARCH models in R
  ☆27Updated 5 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆56Updated 6 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• lucabarbaglia / FiGASR
  Lexicon-based Sentiment Analysis for Economic and Financial Applications in R
  ☆24Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆34Updated 7 months ago
• jhlinplus / high_dim_favar_estimation
  Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
  ☆8Updated last year
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆20Updated 5 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆32Updated 4 years ago