Alternatives and similar repositories for mgarchBEKK:

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

• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆18Updated 5 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆40Updated 3 years ago
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆31Updated 8 months ago
• cran / rmgarch
   This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: http://www.unstarched.net, …
  ☆15Updated 2 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆32Updated 6 months ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆23Updated 7 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 3 months ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 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
  ☆70Updated 2 years ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆12Updated 7 years ago
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated last year
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆17Updated 6 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆12Updated 4 years ago
• korobilis / DMA_FCI
  MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review
  ☆20Updated 5 years ago
• alexiosg / rugarch
  Univariate GARCH models in R
  ☆26Updated 4 months ago
• alexanderlange53 / BEKKs
  ☆11Updated 5 months ago
• Marga8 / Granger-Causality-in-High-Dimensional-VARs
  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
• zhentaoshi / Boosted_HP_filter
  Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"
  ☆28Updated 2 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆35Updated last month
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆20Updated 4 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 8 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated 7 months ago