Alternatives and similar repositories for Spillovers-and-Connectedness

Users that are interested in Spillovers-and-Connectedness are comparing it to the libraries listed below

• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• GabauerDavid / ConnectednessApproach
  ☆99Updated 6 months 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
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 3 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆20Updated 4 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆20Updated 4 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆21Updated 7 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 11 months ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆21Updated 5 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆26Updated 2 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• tomaskrehlik / frequencyConnectedness
  Spectral decomposition of spillover measures
  ☆106Updated 2 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆34Updated 9 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆12Updated 4 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆73Updated 2 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆39Updated 4 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 6 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆127Updated 4 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆95Updated last year