Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY Model
☆36Aug 15, 2024Updated last year
Alternatives and similar repositories for TVP-VAR-DY-Model-Time-Varying-Correlation-and-Risk-Spillover-Effects-Study
Users that are interested in TVP-VAR-DY-Model-Time-Varying-Correlation-and-Risk-Spillover-Effects-Study are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- CoVaR estimation via quantile regression☆27Jan 30, 2018Updated 8 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆24Nov 14, 2020Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆17May 4, 2025Updated last year
- ☆112Feb 20, 2026Updated 5 months ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- Systemic Risk - CoVaR☆13May 3, 2020Updated 6 years ago
- 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☆15May 28, 2022Updated 4 years ago
- TENET: Tail-Event driven NETwork Risk☆52Oct 21, 2025Updated 9 months ago
- ☆10Apr 5, 2022Updated 4 years ago
- 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☆19Jul 11, 2020Updated 6 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆19Mar 16, 2022Updated 4 years ago
- ☆22Jan 6, 2023Updated 3 years ago
- R Code CoVaR with Copula☆76Sep 26, 2024Updated last year
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Bayesian Estimation of a TVP-VAR Model☆19Jun 5, 2018Updated 8 years ago
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆19Jul 10, 2026Updated 2 weeks ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆17Apr 11, 2022Updated 4 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- Stochastic model specification search for TVP-VAR-SV☆29Oct 30, 2020Updated 5 years ago
- Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Market…☆23Updated this week
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 7 years ago
- 学科网课件全自动下载☆15Jan 21, 2026Updated 6 months ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- R package for Bayesian quantile vector autoregression estimation, forecast and impulse response analysis☆11Oct 10, 2024Updated last year
- Dynamic factor models in Matlab☆13Jul 29, 2021Updated 5 years ago
- Option Pricing with Machine Learning Methods☆15Jun 18, 2024Updated 2 years ago
- An experimental API for Extreme Learning machines Neural Networks made with TensorFlow.☆10Oct 23, 2018Updated 7 years ago
- channel pruning for accelerating very deep neural networks☆13Mar 8, 2021Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Jun 8, 2020Updated 6 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- 用于对外经济贸易大学金融培训的R包☆12Jan 8, 2016Updated 10 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 4 years ago
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 8 months ago
- 复杂网络可视化mock工具☆13Aug 30, 2018Updated 7 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆38Oct 30, 2025Updated 8 months ago
- ☆15Dec 25, 2018Updated 7 years ago
- Detection of abnormal patterns in electricity usage via time series forecasting☆11Apr 15, 2018Updated 8 years ago