Alternatives and similar repositories for MVMQ-CAViaR

Users that are interested in MVMQ-CAViaR are comparing it to the libraries listed below

• rhameysayed / Spillovers-and-Connectedness
  ☆21Updated 2 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆77Updated last year
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 5 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆12Updated 4 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆35Updated 9 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆24Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆109Updated 2 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆22Updated 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
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆20Updated 5 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• ZhangZhiHu / assetPricing
  ☆24Updated 8 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• xiaodongzi / covar
  系统性风险指标计算
  ☆10Updated 5 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 4 years ago
• GabauerDavid / ConnectednessApproach
  ☆104Updated last week
• PanyuLi / Asset-Allocation
  大类资产配置
  ☆11Updated 4 years ago
• yangyang2000 / Dynamic-Factor-Model
  Python code for dynamic facctor model. (Preliminary and in progress)
  ☆22Updated 7 years ago
• VBayesLab / Stochastic-Volatility
  A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.
  ☆18Updated 2 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆43Updated 4 years ago
• Zhehao97 / RiskParityFactorModel
  Risk Parity and Factors Model on multi asseet management
  ☆23Updated 4 years ago
• jhihan / Value_at_Risk_Python
  The Value at Risk (VaR) calculation, Python version
  ☆11Updated 6 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• zoe454 / TVPVAR
  I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…
  ☆11Updated 6 years ago