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Software/Codes


This page aims to dissiminate codes related to my research. Some of those codes are R packages implementing methods/models that I developed. Understanding advanced econometric models may be easy, but implementing these models is sometimes challenging and particularly time consuming. This page offers programs that can be directly used by researchers who wish to apply my methods to data.

Packages

  • MDSV - An R package for estimating Multifractal Discrete Stochastic Volatility model (with Maciej Augustyniak and Arnaud Dufays)

    GitHub Vignette

Codes

  • Estimating High Dimensional Hidden Markov Models

    GitHub
  • Estimating infinite Hidden Markov Volatility

    GitHub