18939739359 / copula-dcc-garch
dynamic copula dcc garch estimate bank systematic risk
☆15Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for copula-dcc-garch
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated 9 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- R package for GARCH-MIDAS☆27Updated 4 years ago
- Systemic Risk - CoVaR☆12Updated 4 years ago
- CoVaR estimation via quantile regression☆22Updated 6 years ago
- R Code CoVaR with Copula☆70Updated last month
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆15Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆17Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆12Updated 3 years ago
- Measure market risk by CAViaR model☆10Updated 7 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- R code for CAViaR model☆27Updated 2 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 6 years ago
- ☆17Updated last year
- ☆78Updated 5 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆16Updated 2 years ago
- A quantile dependent method to calculate the correlation between two series.☆17Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆12Updated 5 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆22Updated last year
- Replication of key GARCH model papers☆31Updated 8 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- DCC GARCH modeling in Python☆86Updated 4 years ago