Alternatives and similar repositories for ConnectednessApproach:

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

• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 5 months ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆32Updated 5 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆19Updated 4 years ago
• QuantLet / TENET
  TENET: Tail-Event driven NETwork Risk
  ☆38Updated last month
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆101Updated 2 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 …
  ☆25Updated last year
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆69Updated 2 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 last year
• 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
• Buczman / CaviaR
  R code for CAViaR model
  ☆28Updated 3 years ago
• tstockwe / Bayesian_TVPVAR
  Bayesian Estimation of a TVP-VAR Model
  ☆16Updated 6 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 6 years ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated last month
• alexanderlange53 / BEKKs
  ☆11Updated 3 months ago
• Jincheng-Gong / TVP-VAR-SV
  I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.
  ☆11Updated 2 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
  A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…
  ☆17Updated 6 months ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆26Updated 3 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 5 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…
  ☆12Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 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
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago