Alternatives and similar repositories for Cross-Quantilogram:

Users that are interested in Cross-Quantilogram are comparing it to the libraries listed below

• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 4 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 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
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆13Updated 3 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆11Updated 6 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 6 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
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆90Updated 5 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
  ☆27Updated 3 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆14Updated 4 years ago
• GabauerDavid / ConnectednessApproach
  ☆88Updated last month
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆17Updated 3 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆26Updated 3 years ago
• sardormirzaev / -measuring-volatility-spillovers
  Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
  ☆19Updated 4 years ago
• Xutaott / DNS-Model
  Dynamic Nelson Siegel Model
  ☆12Updated 6 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 6 months ago
• jhihan / Value_at_Risk_Python
  The Value at Risk (VaR) calculation, Python version
  ☆11Updated 5 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated 2 weeks ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆40Updated 4 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆33Updated 5 years ago
• kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
  Machine learning methods for identifing investment factors
  ☆16Updated 3 years ago