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
☆10Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for 2022-statistical-modeling
- 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 3 years ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- dynamic copula dcc garch estimate bank systematic risk☆15Updated 2 years ago
- Systemic Risk - CoVaR☆12Updated 4 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
- ☆17Updated last year
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- A quantile dependent method to calculate the correlation between two series.☆17Updated 4 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆16Updated 2 years ago
- CoVaR estimation via quantile regression☆22Updated 6 years ago
- R Code CoVaR with Copula☆70Updated last month
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆11Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- Measure market risk by CAViaR model☆9Updated 7 months ago
- R code for CAViaR model☆27Updated 2 years ago
- ☆76Updated 4 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆15Updated 4 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
- DCC GARCH modeling in Python☆85Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- R package for GARCH-MIDAS☆27Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆12Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 6 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆32Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated 8 months ago
- 对截止至2017年7月17日的债券违约事件进行梳理归因，并寻找宏观流动性影响因素，组成数据集。运用Lasso回归进行特征提取后，输入带L2惩罚项LR、SVM、NN、GBDT、RF等机器学习模型进行违约预测，得出GBDT预测效果最好以及特征工程对线性模型预测效果具有重要性的结…☆51Updated 5 years ago
- 量化研究-多因子模型☆18Updated last year