barunik / samLinks
Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27, pp.55-78.
☆13Updated 6 years ago
Alternatives and similar repositories for sam
Users that are interested in sam are comparing it to the libraries listed below
Sorting:
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 4 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
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 5 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆23Updated 7 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- R Code CoVaR with Copula☆76Updated 8 months ago
- Estimation and forecasting of VAR model with the Lasso☆29Updated 3 weeks 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
- 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
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- TVP VAR Workshop☆12Updated 5 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ☆23Updated 7 years ago
- ☆20Updated 2 years ago
- ☆11Updated 4 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Updated 2 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- ☆93Updated 3 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 11 months ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 5 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 9 months ago
- Bayesian Estimation of a TVP-VAR Model☆17Updated 7 years ago
- TENET: Tail-Event driven NETwork Risk☆46Updated 4 months ago
- Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020☆8Updated last year
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago