xiaoguozhi / R-programming-with-applications-to-financial-quantitive-analysis
The code for the book 《R programming with applications to financial quantitive analysis》
☆26Updated 6 years ago
Alternatives and similar repositories for R-programming-with-applications-to-financial-quantitive-analysis:
Users that are interested in R-programming-with-applications-to-financial-quantitive-analysis are comparing it to the libraries listed below
- Estimation and forecasting of VAR model with the Lasso☆27Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆17Updated last year
- quant, financial data, economic data☆59Updated 8 months ago
- R package for mixed frequency time series data analysis.☆77Updated 2 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- The code for network autoregression model (NAR)☆9Updated 8 years ago
- ☆10Updated 9 years ago
- GAS models☆34Updated 3 years ago
- R Code CoVaR with Copula☆75Updated 4 months ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Replication of key GARCH model papers☆33Updated 8 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆21Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Time Series Modelling☆24Updated 6 months ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆18Updated 2 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆11Updated 2 years ago
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 4 months ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 4 months ago
- Data Envelopment Analysis (DEA) package for R with robust unbiased methods.☆24Updated last year
- CoVaR estimation via quantile regression☆24Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. qrnn — Quantile Regression Neural Network☆8Updated 10 months ago
- Shenzhen Winter Camp 2018☆28Updated 6 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆12Updated 5 years ago
- R package for GARCH-MIDAS☆31Updated 5 years ago
- Feng Li's Python Course for Statisticians and Economists☆14Updated 7 months ago
- Testing for bubbles with R☆19Updated 5 years ago