lei940324 / QuantileLinks
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
☆19Updated 4 years ago
Alternatives and similar repositories for Quantile
Users that are interested in Quantile are comparing it to the libraries listed below
Sorting:
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆21Updated 10 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☆14Updated 3 years ago
- ☆94Updated 3 months ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆12Updated last month
- I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.☆14Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- ☆20Updated 2 years ago
- Spectral decomposition of spillover measures☆105Updated 2 years ago
- R Code CoVaR with Copula☆76Updated 8 months ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- TENET: Tail-Event driven NETwork Risk☆47Updated 4 months 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 10 months ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Bayesian Estimation of a TVP-VAR Model☆18Updated 7 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 3 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Stochastic model specification search for TVP-VAR-SV☆27Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆21Updated 5 years ago
- A quantile dependent method to calculate the correlation between two series.☆19Updated 4 years ago
- R code for CAViaR model☆29Updated 3 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
- 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
- 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 5 years ago
- ☆11Updated 4 months ago