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
  ☆13Updated 5 years ago
• GabauerDavid / ConnectednessApproach
  ☆97Updated 5 months ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆106Updated 2 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 10 months ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 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…
  ☆11Updated 4 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆21Updated 5 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
• rhameysayed / Spillovers-and-Connectedness
  ☆20Updated 2 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆28Updated 3 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 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…
  ☆13Updated 3 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆127Updated 4 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆94Updated last year
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆50Updated last year
• TommasoBelluzzo / SystemicRisk
  A framework for financial systemic risk valuation and analysis.
  ☆172Updated 2 years ago
• cosimoizzo / DDFM
  Deep Dynamic Factor Models
  ☆22Updated last year
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆21Updated 4 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆26Updated last year
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆19Updated 4 years ago
• cattwong / TVP-VAR-DY-Model-Time-Varying-Correlation-and-Risk-Spillover-Effects-Study
  Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…
  ☆23Updated 11 months ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆12Updated 4 years ago
• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆63Updated 3 years ago