xiaodongzi / covarLinks
系统性风险指标计算
☆10Updated 5 years ago
Alternatives and similar repositories for covar
Users that are interested in covar are comparing it to the libraries listed below
Sorting:
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- 本项目主要是对2008年1月1日-2021年12月31日我国1343家非金融企业的系统性风险进行测度并对风险传染机制进行分析，其主要内容包含以下两个部分：（1）基于DCC-GARCH模型的系统性风险（MES）测度，（2）复杂网络的抗毁性分析☆15Updated 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…☆26Updated last year
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- A quantile dependent method to calculate the correlation between two series.☆20Updated 4 years ago
- ☆21Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆22Updated 7 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 11 months ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- This Model is created to describe the credit risk of a listed company☆25Updated 8 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 4 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- R code for CAViaR model☆29Updated 3 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆70Updated 6 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Stock market prediction model ANN, SVM, SVR☆16Updated 7 years ago
- ☆12Updated 3 years ago
- 多因子打分选股☆13Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- Attempt to use XGBoost in stock price prediction☆89Updated 5 years ago
- An attempt to implement the idea behind this paper: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0212320☆20Updated 4 years ago
- 基于QFactor模型的A股实证研究☆19Updated 6 years ago