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econometric_theory_slides

Slides for A Primer in Econometric Theory

edma

Perform Dynamic Model Averaging with grid search as in Dangl and Halling (2012) using parallel computing.

electricitypriceforecasting

elements-of-statistical-learning

Contains LaTeX, SciPy and R code providing solutions to exercises in Elements of Statistical Learning (Hastie, Tibshirani & Friedman)

empiricalfinancephd

Empirical Finance Course (PhD, Julia code)

epf

Electricity Price Forecasting

esl-cn

The Elements of Statistical Learning (ESL)的中文翻译、代码实现及其习题解答。

esreg

The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

f-svar

Estimating dynamic connectivity states in neuroimaging data using regime-switching factor models

factor-augmented-vector-autoregressive-favar-winrats-code-package-

A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .

factorcopula

R package for dependence modelling with factor copulas

factorstochvol

:exclamation: This is a read-only mirror of the CRAN R package repository. factorstochvol — Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

fcvar

Fractionally cointegrated vector autoregressive model

fdma

This is a mirror of the CRAN R package repository. fDMA: Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes. https://CRAN.R-project.org/package=fDMA

fe-forecast

Financial Econometrics Forecast Competition

ffdownload

financial-machine-learning

A curated list of practical financial machine learning tools and applications.

financial-transfer-entropy

A package for uncovering comovements and clusters of financial time series with transfer entropy.

finmod

R package implementing the Hull-White, Heston, and BNS models for forecasting realized volatility of financial assets

fls

Time-Varying linear regression via flexible least squares

forecasting-financial-markets

frequencyconnectedness

Spectral decomposition of spillover measures

frm_expectile

frm_quantlet_china

functionalquantileregression

Paper performing Bayesian functional quantile regression

gar-connectedness-a-networks-approach

We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a popular area of discussion in recent years. Even more recently, it has been increasingly imperative to acknowledge GDP downside risk from the lower quantiles of its conditional distribution. Utilizing methods introduced by Adrian, Boyarchenko, and Giannone (2019), we observe the quantile dynamics of these 12 OECD member countries with respect to the vulnerability of GDP growth as a function of relative financial and economic conditions. Further, utilizing network estimation methods from Diebold and Yilmaz (2014), we find that network connectedness is stronger and more volatile at the 5th quantile compared to that at the 50th quantile, and that 5th quantile connectedness increases during the Financial Crisis of 2008. Finally, we decompose the country pairwise connectedness into explanatory channels, and find that along with trade and domestic financial conditions, foreign financial conditions are important in explaining the connectedness between two countries.

garch

DCC BEKK Factor Copula MSV

garpackg

Development of Growth at Risk model

gas

GAS models

genus_proximum_cryptos

This is a repository for the paper "A Statistical Classification of Cryptocurrencies"