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analytic_shrinkage

Non-Linear Covariance Shrinkage

blog_public_gmv

Backtesting a Global Minimum Variance Portfolio in R

bvar-bayesianvar-julia

Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models

covshrinkage

A Package for Shrinkage Estimation of Covariance Matrices

dcc-aparch-model

Dynamic conditional correlation for portfolio management

estimation-and-inference-of-extremal-quantile-treatment-effects-for-heavy-tailed-distributions

A repository to reproduce the numerical results in the Extremeal QTE paper

estimationofcovariancematrix

Estimation of the Covariance Matrix - linear and nonlinear shrinkage

har-rv-model

Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).

innovation-on-brazilian-economic-research

Scientific research project. The idea was to analyse the patterns of innovation in economics research. It was based on Topic Modellind and Information Theory concepts to make quantitative measures of innovation, transience and resonance of a given paper.

master-thesis

Forecasts of Risk Measurements using the Multivariate Realized GARCH Model

mf-bavart

MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"

mfbvar

R package for Mixed-Frequency Bayesian VARs

mfgarch

An R package for using mixed-frequency GARCH models

midas_bayesian_var_nowcasting

multivariate-dcc-garch-model

Multivariate DCC-GARCH model

nowcasting

R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:

protectr

This R package lets you implement Bayesian Partially Protected Lasso where you can protect theoretically important variables from shrinkage.

risk-parity-and-minimal-variance-portfolio-based-on-a-regularized-estimate-of-variance-covariance-ma