QingTianLuo / 2022-statistical-modelingLinks
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
☆14Updated 3 years ago
Alternatives and similar repositories for 2022-statistical-modeling
Users that are interested in 2022-statistical-modeling are comparing it to the libraries listed below
Sorting:
- 系统性风险指标计算☆10Updated 5 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☆19Updated 5 years ago
- 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
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆12Updated 2 months ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- 基于LDA主题模型的投资者情绪对股价影响研究☆25Updated 5 years ago
- ☆20Updated 2 years ago
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago
- 陈强高级计量经济学笔记，使用python、matlab实现各模型估计☆128Updated 5 years ago
- 文本(股吧评论)情感分析☆8Updated 6 years ago
- Stochastic model specification search for TVP-VAR-SV☆28Updated 4 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 3 years ago
- A Chinese financial sentiment word dictionary☆174Updated 3 years ago
- ☆97Updated 5 months ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆14Updated 3 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- 金融类数据分析项目☆8Updated 8 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- R Code CoVaR with Copula☆76Updated 10 months ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- A quantile dependent method to calculate the correlation between two series.☆19Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years 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…☆15Updated 4 years ago
- 《Python金融大数据挖掘与分析全流程详解》学习笔记及代码☆13Updated 5 years ago