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cvv

R package for cosine of velocity vectors, a measure of dyadic synchrony

dcortools

Providing fast and flexible functions for distance correlation analysis

download_crypto_currencies_data

Download and update data about crypto-currencies (bitcoin, ether, litecoin, etc.) from different exchanges (Binance, Bitmex, Bitfinex, GDAX, Kraken and Poloniex) with pyhton.

dsp

Dynamic Shrinkage Processes

empcop

Classes and tools for some empirical or semi-parametrical models for copulas.

exdex

Estimation of the Extremal Index

exuber

Econometric Analysis of Explosive Time Series

f-svar

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

factorcopula

R package for dependence modelling with factor copulas

fcvar

Fractionally cointegrated vector autoregressive model

financial-transfer-entropy

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

flm_interval_valued_data

fracfin.jl

Simulation and estimation involving fractional Brownian motion.

gamcopula

Repository of the gamCopula R Package

gappylrd

Estimation of long range dependence in gappy Gaussian time series

garch-smc

Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo

ggstatsplot

Collection of functions to enhance ggplot2 plots with results from statistical tests.

gr2

An R package to estimate population generalized R square measures

graphicalextremes

Statistical methodology for graphical extreme value models

graphtime

A Package for Dynamic Graphical Model Estimation. Future versions in R coming soon

greedybaps

grnte

Network Reconstruction by Transfer Entropy

hedge_ratio_w_kalman_filter

hierarchical-mfvar

Sparse regression of mixed-frequency VectorAutoregressions

hmmt

R package for Hidden Markov Models with t emissions

hurst-exp

Estimating Hurst exponents varying in time using neural networks for time series

icph

R package icph

igcop

R package holding computational tools for the Integrated Gamma Copula Family

information_share_currency_market

This is the code to get information share for the spot and futures market using Hasbroucks Methodology (1995).

informationtransfer

Thesis MaStat 2018