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📖An interactive companion to the well-received textbook 'Introduction to Econometrics' by Stock & Watson (2015)
Technical analysis and other functions to construct technical trading rules with R
The official R data package for "Introductory Econometrics: A Modern Approach". A vignette contains example models from each chapter.
This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some of the topics explored include: machine learning, high freq…
Spectral decomposition of spillover measures
An R package for using mixed-frequency GARCH models
This repo contains the code to replicate the analyses in Baker, Larcker, Wang.
midasml package is dedicated to run predictive high-dimensional mixed data sampling models
Code for the paper "Estimating Transfer Entropy via Copula Entropy"
MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
Functions for Bayesian inference of vector autoregressive and vector error correction models
ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
Code to implement transfer entropy (Shannon and Renyi)
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
dynamic copula dcc garch estimate bank systematic risk
Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy"
Inference for Gaussian copula factor models and its application to causal discovery.