upathare1 / CoVaR-Conditional-VaR-ProjectLinks
Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
☆21Updated 4 years ago
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
Sorting:
- ☆21Updated 2 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- ☆101Updated 7 months ago
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆27Updated last year
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- R Code CoVaR with Copula☆76Updated last year
- A quantile dependent method to calculate the correlation between two series.☆20Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆23Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 4 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 …☆27Updated 2 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆98Updated last year
- The asymptotic normal distribution properties☆15Updated 7 years ago
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- ☆73Updated 2 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- Spectral decomposition of spillover measures☆109Updated 2 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Python Nowcasting☆131Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year