Systemic Risk - CoVaR
☆13May 3, 2020Updated 5 years ago
Alternatives and similar repositories for Systemic-Risk
Users that are interested in Systemic-Risk are comparing it to the libraries listed below
Sorting:
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- TENET: Tail-Event driven NETwork Risk☆49Oct 21, 2025Updated 4 months ago
- R Code CoVaR with Copula☆77Sep 26, 2024Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Nov 14, 2020Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 7 years ago
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Feb 11, 2020Updated 6 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
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆27Aug 13, 2023Updated 2 years ago
- Spectral decomposition of spillover measures☆110Feb 24, 2023Updated 3 years ago
- BSc Thesis on the Garch-Midas model☆29Feb 18, 2022Updated 4 years ago
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 3 months ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- R package for GARCH-MIDAS☆38Nov 27, 2019Updated 6 years ago
- ☆13Dec 7, 2025Updated 2 months ago
- ☆11Jun 9, 2021Updated 4 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆36Oct 30, 2025Updated 4 months ago
- ☆109Feb 20, 2026Updated last week
- This is a read-only mirror of the CRAN R package repository. splm — Econometric Models for Spatial Panel Data☆10Dec 21, 2023Updated 2 years ago
- R Package for Bootstrap Unit Root Tests☆10May 5, 2025Updated 9 months ago
- ☆10Apr 5, 2022Updated 3 years ago
- Efficient stochastic gradient descent algorithms for the estimation of generalized matrix factorization models in R.☆12Dec 15, 2025Updated 2 months ago
- mgarch Package for R-Project☆16Apr 28, 2014Updated 11 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 2 months ago
- A framework for financial systemic risk valuation and analysis.☆177Jan 5, 2023Updated 3 years ago
- Extreme Quantile Regression Neural Networks for Conditionnal Risk Assessment☆16Nov 21, 2025Updated 3 months ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 years ago
- Replication Code for Identifying Price Informativeness☆13Mar 15, 2021Updated 4 years ago
- ☆15Jun 17, 2021Updated 4 years ago
- Exploratory notebook . Techniques used: FFT, ARIMA, GARCH, Monte Carlo Simulations, fbprophet, LSTM, WaveNet.☆11Jul 11, 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
- Dynamic factor models in Matlab☆13Jul 29, 2021Updated 4 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Jan 2, 2023Updated 3 years ago
- This is a generic LaTeX template for dissertations (layout according to Imperial College London).☆14Jul 8, 2019Updated 6 years ago
- Repository containing vintages of oil supply news shock data☆13Dec 15, 2025Updated 2 months ago
- Comprehensive tutorial notes for ETC2410 Introductory Econometrics☆13Sep 4, 2019Updated 6 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