18939739359 / copula-dcc-garch
dynamic copula dcc garch estimate bank systematic risk
☆17Updated 3 years ago
Alternatives and similar repositories for copula-dcc-garch:
Users that are interested in copula-dcc-garch are comparing it to the libraries listed below
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated last year
- Systemic Risk - CoVaR☆12Updated 4 years ago
- CoVaR estimation via quantile regression☆25Updated 7 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- R package for GARCH-MIDAS☆31Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆24Updated 3 years ago
- R Code CoVaR with Copula☆75Updated 4 months ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- ☆18Updated 2 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 2 years ago
- R code for CAViaR model☆28Updated 3 years ago
- ☆85Updated 8 months ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆18Updated 4 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆11Updated 2 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Measure market risk by CAViaR model☆11Updated 2 months ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 years ago
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆14Updated 6 months 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
- DCC GARCH modeling in Python☆90Updated 5 years ago
- ☆10Updated 9 years ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago