Alternatives and similar repositories for CoVaR-Conditional-VaR-Project

Users that are interested in CoVaR-Conditional-VaR-Project are comparing it to the libraries listed below

• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years 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
• rhameysayed / Spillovers-and-Connectedness
  ☆20Updated 2 years ago
• cattwong / TVP-VAR-DY-Model-Time-Varying-Correlation-and-Risk-Spillover-Effects-Study
  Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…
  ☆21Updated 11 months ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆19Updated 4 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 5 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆95Updated 5 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• xiaodongzi / covar
  系统性风险指标计算
  ☆10Updated 5 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆28Updated 3 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• jhihan / Value_at_Risk_Python
  The Value at Risk (VaR) calculation, Python version
  ☆11Updated 5 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
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆13Updated 4 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
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆30Updated 3 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
  Machine learning methods for identifing investment factors
  ☆17Updated 3 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆11Updated 6 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 9 months ago
• GabauerDavid / ConnectednessApproach
  ☆95Updated 4 months ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆42Updated 5 years ago
• iankhr / fintools
  The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
  ☆20Updated 5 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 5 years ago