lei940324 / Quantile
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
☆18Updated 4 years ago
Alternatives and similar repositories for Quantile:
Users that are interested in Quantile are comparing it to the libraries listed below
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆17Updated 8 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☆13Updated 2 years ago
- ☆90Updated 2 months ago
- R Code CoVaR with Copula☆76Updated 7 months ago
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆11Updated 3 years ago
- Systemic Risk - CoVaR☆12Updated 5 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆11Updated 2 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 8 months ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- Spectral decomposition of spillover measures☆102Updated 2 years ago
- ☆18Updated 2 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆20Updated 4 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- TENET: Tail-Event driven NETwork Risk☆44Updated 3 months ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 3 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Stochastic model specification search for TVP-VAR-SV☆25Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- Bayesian Estimation of a TVP-VAR Model☆16Updated 6 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆23Updated 7 years ago
- An R package for using mixed-frequency GARCH models☆70Updated 2 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years 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
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Deep Dynamic Factor Models☆20Updated last year
- Equity return and characteristics of China A-Share market☆18Updated last year
- R code for CAViaR model☆29Updated 3 years ago