Alternatives and similar repositories for CaviaR:

Users that are interested in CaviaR are comparing it to the libraries listed below

• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆12Updated 4 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆31Updated 5 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆17Updated 3 years ago
• cran / rumidas
   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
• GabauerDavid / ConnectednessApproach
  ☆85Updated 8 months ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆19Updated 4 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆25Updated 7 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆24Updated 3 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 2 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆75Updated 4 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆13Updated 3 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆69Updated 2 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 6 years ago
• cspun / MLE-SRISK
  This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…
  ☆12Updated 2 years ago
• fawdywahyu18 / TVP_FAVAR_Kalman_Filter
  Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)
  ☆11Updated 2 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆100Updated last year
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆43Updated last year
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆25Updated 3 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆90Updated 5 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 8 years ago
• yatshunlee / CAViaR
  Measure market risk by CAViaR model
  ☆11Updated 2 months ago