rhameysayed / Spillovers-and-ConnectednessLinks
☆20Updated 2 years ago
Alternatives and similar repositories for Spillovers-and-Connectedness
Users that are interested in Spillovers-and-Connectedness are comparing it to the libraries listed below
Sorting:
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Tail-risk Connectedness Network and Systemic Risk in Chinese Financial Market☆8Updated 6 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- ☆97Updated 5 months ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- R Code CoVaR with Copula☆76Updated 10 months ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 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
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Spectral decomposition of spillover measures☆106Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- R code for CAViaR model☆29Updated 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 …☆26Updated last year
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated 4 months ago
- TENET: Tail-Event driven NETwork Risk☆47Updated 6 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago
- 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
- 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