Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY Model
☆33Aug 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
Sorting:
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- TENET: Tail-Event driven NETwork Risk☆49Oct 21, 2025Updated 4 months 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 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Nov 14, 2020Updated 5 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☆18Jul 11, 2020Updated 5 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆19Mar 16, 2022Updated 3 years ago
- Bayesian Estimation of a TVP-VAR Model☆20Jun 5, 2018Updated 7 years ago
- ☆22Jan 6, 2023Updated 3 years ago
- Stochastic model specification search for TVP-VAR-SV☆29Oct 30, 2020Updated 5 years ago
- R package for Bayesian quantile vector autoregression estimation, forecast and impulse response analysis☆11Oct 10, 2024Updated last year
- Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Market…☆22Jan 15, 2025Updated last year
- R Code CoVaR with Copula☆77Sep 26, 2024Updated last year
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆15May 4, 2025Updated 10 months ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- ☆10Apr 5, 2022Updated 3 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 5 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 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
- 经济学AI使用指南☆17Sep 10, 2025Updated 5 months ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- Option Pricing with Machine Learning Methods☆15Jun 18, 2024Updated last year
- 《Python金融大数据挖掘与分析全流程详解》学习笔记及代码☆14Aug 4, 2020Updated 5 years ago
- Measure market risk by CAViaR model☆16Dec 15, 2024Updated last year
- PCMCI version 4.1☆14Dec 1, 2020Updated 5 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆17May 20, 2024Updated last year
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.☆15Oct 19, 2020Updated 5 years ago
- Matlab code for frequency-domain Granger causality with significance testing☆14Oct 27, 2014Updated 11 years ago
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Feb 11, 2020Updated 6 years ago
- 用于对外经济贸易大学金融培训的R包☆12Jan 8, 2016Updated 10 years ago
- Forecasting crude oil price based on only historical price data utilizing time-series forecasting and ensemble modeling.☆16May 1, 2023Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- Solidity8+ 从入门到精通☆17Jan 16, 2024Updated 2 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆18Jul 19, 2021Updated 4 years ago
- 不同时间序列预测方法对上海旅游规模进行预测☆19Mar 16, 2019Updated 6 years ago
- ☆18Jan 7, 2019Updated 7 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…☆18Aug 26, 2024Updated last year
- Code for phonetically classifying TIMIT using TensorFlow☆18Jul 1, 2016Updated 9 years ago
- 为大学生简单使用ChatGPT提供的Prompt模板大全.包含功能:多语言翻译,代码生成,代码解析,实验报告生成,论文润色☆19Jul 28, 2023Updated 2 years ago