Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
☆14Apr 4, 2021Updated 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☆20Dec 29, 2021Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Jan 28, 2021Updated 5 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- Vine_Copula_based_ARMA_EGARCH☆10Feb 10, 2019Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 6 years ago
- R Code CoVaR with Copula☆77Sep 26, 2024Updated last year
- Stochastic model specification search for TVP-VAR-SV☆29Oct 30, 2020Updated 5 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 …☆27Aug 13, 2023Updated 2 years ago
- ☆24Aug 19, 2017Updated 8 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- R package for GARCH-MIDAS☆43Nov 27, 2019Updated 6 years ago
- Code for paper "Copula-based conformal prediction for Multi-Target Regression"☆34Apr 1, 2021Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Oct 21, 2018Updated 7 years ago
- Using CNN-LSTM deep learning model for digital soil mapping. This is the code for paper "Zhang et al. A CNN-LSTM model for soil organic c…☆13Jul 26, 2022Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 3 months ago
- Efficient stochastic gradient descent algorithms for the estimation of generalized matrix factorization models in R.☆12Dec 15, 2025Updated 2 months ago
- ☆10Apr 5, 2022Updated 3 years ago
- Quantile-based Spectral Analysis of Time Series☆12Jul 10, 2024Updated last year
- Spectral decomposition of spillover measures☆111Feb 24, 2023Updated 3 years ago
- Exploratory notebook . Techniques used: FFT, ARIMA, GARCH, Monte Carlo Simulations, fbprophet, LSTM, WaveNet.☆11Jul 11, 2022Updated 3 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…☆12Mar 18, 2025Updated 11 months ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Jan 2, 2023Updated 3 years ago
- Replication Code for Identifying Price Informativeness☆13Mar 15, 2021Updated 4 years ago
- ☆11Jul 15, 2022Updated 3 years ago
- An algorithm based on Java implementation, can automatically check the set of outliers in a set of data, eliminate these outliers, and fi…☆12May 11, 2021Updated 4 years ago
- Gathers machine learning and deep learning models for Stock forecasting including trading bots and simulations☆10Apr 18, 2022Updated 3 years ago
- R package for dependence modelling with factor copulas☆12Apr 13, 2020Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Sep 18, 2020Updated 5 years ago
- This is a generic LaTeX template for dissertations (layout according to Imperial College London).☆14Jul 8, 2019Updated 6 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Jul 18, 2022Updated 3 years ago
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Apr 25, 2020Updated 5 years ago
- Vector wavelet coherence for multiple time series☆13Jan 8, 2021Updated 5 years ago
- Code release of "Time Series Data Cleaning: From Anomaly Detection to Anomaly Repairing" (VLDB 17)☆12Mar 16, 2022Updated 3 years ago
- ARDL, ECM and Bounds-Test for Cointegration☆21Jun 11, 2025Updated 8 months ago
- Codebase for HYPHEN, accepted at ACL 2022 (main)☆11May 17, 2022Updated 3 years ago