QingTianLuo / 2022-statistical-modeling
本项目主要是对2008年1月1日-2021年12月31日我国1343家非金融企业的系统性风险进行测度并对风险传染机制进行分析，其主要内容包含以下两个部分：（1）基于DCC-GARCH模型的系统性风险（MES）测度，（2）复杂网络的抗毁性分析
☆11Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for 2022-statistical-modeling
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- 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☆17Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆15Updated 4 years ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆11Updated 2 years ago
- Measure market risk by CAViaR model☆10Updated 7 months ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆16Updated 2 years ago
- ☆17Updated last year
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- dynamic copula dcc garch estimate bank systematic risk☆15Updated 2 years ago
- A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…☆15Updated 2 months ago
- 使用中文情感词汇本体库进行情感分析，之后对每种情感的文本进行主题分析。Using Chinese Sentiment Dictionary for Sensitive Analysis, Then applying LDA Topic Analysis for each E…☆13Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- CoVaR estimation via quantile regression☆22Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆15Updated 5 months ago
- ☆79Updated 5 months ago
- DCC GARCH modeling in Python☆86Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- R Code CoVaR with Copula☆70Updated last month
- Systemic Risk - CoVaR☆12Updated 4 years ago
- R code for CAViaR model☆28Updated 2 years ago
- A quantile dependent method to calculate the correlation between two series.☆17Updated 4 years ago
- Dynamic Nelson Siegel Model☆10Updated 5 years ago
- A Chinese financial sentiment word dictionary☆157Updated 3 years ago
- Stochastic model specification search for TVP-VAR-SV☆23Updated 4 years ago
- 文本(股吧评论)情感分析☆8Updated 5 years ago
- 基于LDA主题模型的投资者情绪对股价影响研究☆24Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆17Updated 4 years ago