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

• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆31Updated last month
• mpiktas / midasr
  R package for mixed frequency time series data analysis.
  ☆77Updated 2 months ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 9 years ago
• AvinashAcharya / factorAnalytics
  R package factorAnalytics developed during Google Summer of Code 2016
  ☆24Updated 6 years ago
• ShichenXie / pedquant
  quant, financial data, economic data
  ☆61Updated 3 weeks ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆24Updated 7 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• carloscinelli / NetworkRiskMeasures
  Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.
  ☆70Updated 5 years ago
• jaak-s / rDEA
  Data Envelopment Analysis (DEA) package for R with robust unbiased methods.
  ☆24Updated last year
• cloudly / Play-Econometrics-with-R
  a brochure about "Play Econometrics with R"
  ☆141Updated 13 years ago
• fw307 / high_dimensional_regression_comparison
  Empirical comparison of penalized linear regression in high-dimensional settings
  ☆12Updated 5 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 9 months ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• feng-li / Python-for-Statisticians-and-Economists
  Feng Li's Python Course for Statisticians and Economists
  ☆14Updated last year
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆21Updated 5 years ago
• cjporteo / ACTSC445-QERM-projects
  Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…
  ☆15Updated 4 years ago
• yukai-yang / PSTR
  an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.
  ☆20Updated last month
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 6 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 4 years ago
• taiyun / Optimization-using-R
  A Chinese document about optimization using R
  ☆28Updated 3 years ago
• jhlinplus / high_dim_favar_estimation
  Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
  ☆9Updated last year
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 4 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
• vst / mgarchBEKK
  R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
  ☆15Updated 2 years ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 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
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated this week