zhangkelly014 / NowcastingLinks
Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
☆15Updated 5 years ago
Alternatives and similar repositories for Nowcasting
Users that are interested in Nowcasting are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆27Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆60Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆26Updated 7 years ago
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- CoVaR estimation via quantile regression☆28Updated 7 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆53Updated last year
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Updated 9 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated last month
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Factor-Based Imputation for Missing Data☆60Updated 11 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- An R package for using mixed-frequency GARCH models☆72Updated 2 years ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆14Updated 2 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Updated 5 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆21Updated 6 months ago
- ☆19Updated 6 years ago
- ☆10Updated 3 years ago
- A package for shrinkage estimation of covariance matrices☆14Updated last year