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
☆13Updated 2 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
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆15Updated 7 months ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆11Updated 2 years ago
- ☆18Updated 2 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆19Updated 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☆18Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- BSc Thesis on the Garch-Midas model☆26Updated 3 years ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆11Updated 2 years ago
- ☆87Updated 3 weeks ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 3 years ago
- R Code CoVaR with Copula☆76Updated 5 months 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
- A quantile dependent method to calculate the correlation between two series.☆18Updated 4 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- CoVaR estimation via quantile regression☆26Updated 7 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…☆17Updated 6 months ago
- R package for GARCH-MIDAS☆32Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 3 years ago
- Dynamic Nelson Siegel Model☆12Updated 6 years ago
- Stochastic model specification search for TVP-VAR-SV☆23Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- R code for CAViaR model☆29Updated 3 years ago
- 文本(股吧评论)情感分析☆8Updated 6 years ago
- Measure market risk by CAViaR model☆11Updated 3 months ago
- Systemic Risk - CoVaR☆13Updated 4 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
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 6 years ago