Alternatives and similar repositories for TVP_FAVAR_Kalman_Filter

Users that are interested in TVP_FAVAR_Kalman_Filter are comparing it to the libraries listed below

• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• cattwong / TVP-VAR-DY-Model-Time-Varying-Correlation-and-Risk-Spillover-Effects-Study
  Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…
  ☆23Updated 11 months ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆28Updated 3 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆96Updated 5 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 5 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆21Updated 4 years ago
• QingTianLuo / 2022-statistical-modeling
  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
  ☆14Updated 3 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• xiaodongzi / covar
  系统性风险指标计算
  ☆10Updated 5 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆20Updated 2 years ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆12Updated 4 years ago
• yatshunlee / CAViaR
  Measure market risk by CAViaR model
  ☆13Updated 7 months ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆127Updated 4 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆19Updated 4 years ago
• RichardS0268 / Autoencoder-Asset-Pricing-Models
  Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
  ☆96Updated last year
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 10 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated last year
• ZhuZhouFan / CQVAE
  This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…
  ☆16Updated last year
• GabauerDavid / ConnectednessApproach
  ☆97Updated 5 months ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆93Updated 11 months ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆63Updated 3 years ago
• whyecofiliter / EAP
  empirical asset pricing
  ☆46Updated last year
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• TommasoBelluzzo / SystemicRisk
  A framework for financial systemic risk valuation and analysis.
  ☆172Updated 2 years ago