R Code CoVaR with Copula
☆77Sep 26, 2024Updated last year
Alternatives and similar repositories for RCoVaRCopula
Users that are interested in RCoVaRCopula are comparing it to the libraries listed below
Sorting:
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- ☆11Jan 26, 2025Updated last year
- Systemic Risk - CoVaR☆13May 3, 2020Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 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
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Feb 11, 2020Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Jan 28, 2021Updated 5 years ago
- TENET: Tail-Event driven NETwork Risk☆49Oct 21, 2025Updated 4 months ago
- Spectral decomposition of spillover measures☆111Feb 24, 2023Updated 3 years ago
- R package for GARCH-MIDAS☆43Nov 27, 2019Updated 6 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- An R package for using mixed-frequency GARCH models☆75Jan 13, 2026Updated last month
- Vine_Copula_based_ARMA_EGARCH☆10Feb 10, 2019Updated 7 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
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 5 years ago
- ☆109Feb 20, 2026Updated 2 weeks ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆14Apr 4, 2021Updated 4 years ago
- Statistical inference of vine copulas☆97Aug 7, 2025Updated 7 months ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Nov 14, 2020Updated 5 years ago
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 3 months ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆13May 12, 2020Updated 5 years ago
- ☆10Apr 5, 2022Updated 3 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Apr 17, 2021Updated 4 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 3 months ago
- R package for Mixed-Frequency Bayesian VARs☆45May 11, 2021Updated 4 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆12Jun 5, 2022Updated 3 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 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
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Sep 18, 2020Updated 5 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆14Jul 18, 2022Updated 3 years ago
- Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.☆76Mar 5, 2020Updated 6 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- R code for CAViaR model☆31Dec 12, 2021Updated 4 years ago
- Testing for bubbles with R☆21Oct 19, 2019Updated 6 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…☆33Aug 15, 2024Updated last year