SUSANKI / ARMA-GARCH-COPULA-VAR-Links
Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
☆13Updated 4 years ago
Alternatives and similar repositories for ARMA-GARCH-COPULA-VAR-
Users that are interested in ARMA-GARCH-COPULA-VAR- are comparing it to the libraries listed below
Sorting:
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 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…☆11Updated 2 months ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Vine_Copula_based_ARMA_EGARCH☆11Updated 6 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 8 months ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 5 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- ☆20Updated 2 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- DCC GARCH modeling in Python☆93Updated 5 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- ☆93Updated 3 months ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆12Updated last month
- R code for CAViaR model☆29Updated 3 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆90Updated 9 months ago
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆20Updated 9 months ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago