yli188 / vine_copulaLinks
Vine_Copula_based_ARMA_EGARCH
☆11Updated 6 years ago
Alternatives and similar repositories for vine_copula
Users that are interested in vine_copula are comparing it to the libraries listed below
Sorting:
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated 3 months ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 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
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Measure market risk by CAViaR model☆13Updated 6 months ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- A quantile dependent method to calculate the correlation between two series.☆19Updated 4 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago
- R code for CAViaR model☆29Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆18Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- ☆11Updated last year
- R Code CoVaR with Copula☆76Updated 9 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- ☆20Updated 2 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago