Alternatives and similar repositories for 2022-statistical-modeling:

Users that are interested in 2022-statistical-modeling are comparing it to the libraries listed below

• 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…
  ☆16Updated 7 months 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
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆20Updated 4 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 4 years ago
• lei940324 / Quantile
  介绍分位数回归，包括分位数Granger因果检验、QVAR及脉冲响应函数
  ☆18Updated 4 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years 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
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 6 months ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆26Updated 3 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• GabauerDavid / ConnectednessApproach
  ☆88Updated last month
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 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 7 months ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆21Updated 6 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• Xutaott / DNS-Model
  Dynamic Nelson Siegel Model
  ☆12Updated 6 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆19Updated 4 years ago
• mantezb / tvpVAR
  Stochastic model specification search for TVP-VAR-SV
  ☆24Updated 4 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆33Updated 5 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
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆102Updated 2 years ago
• QuantLet / TENET
  TENET: Tail-Event driven NETwork Risk
  ☆42Updated 2 months ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆18Updated 4 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆90Updated 5 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆27Updated 3 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago