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beautiful-visualization-with-r

《R语言数据可视化之美》配套代码

bootstraprisk

Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models (Master Dissertation)

caviar

R code for CAViaR model

coskewkurtosis

cvar

R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)

dynamic-correlaton-between-commodity-and-stock-market-over-covid19

DCC-GARCH written in R. ARIMAX & multivariate LSTM written in Python

dynquant

dynquant - dynamic quantile regression models: CAViaR (different specifications), MVMQCAViaR, and Mixed Data Sampling versions of these models.

esreg_ejs

Codes for A joint quantile and expected shortfall regression framework

garch_replication

Replication of key GARCH model papers

highorderportfolios

Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis

mf-bavart

Replication files for the paper "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs

mfbvar_replication

Replication files for the paper "A mixed-frequency Bayesian vector autoregression with a steady-state prior" by Ankargren, Unosson and Yang.

mfgarch

An R package for using mixed-frequency GARCH models

mgarchbekk

:exclamation: This is a read-only mirror of the CRAN R package repository. mgarchBEKK — Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes. Homepage: https://github.com/vst/mgarchBEKK/

midasml

midasML package is dedicated to run predictive high-dimensional mixed data sampling models

midasvares

mmidas

Multivariate Mixed Frequency Data Sampling Model, an extension of Ghysels (2008) single variable MIDAS.

ms_regress-matlab

Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models

multivariate-dcc-garch-model

Multivariate DCC-GARCH model

nowcasting

R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

var-es-assessment-of-cryptos

Value at Risk and Expected Shortfall estimations of cryptocurrencies

volatility-estimation-of-multivariate-financial-time-series-by-ica-garch-models

Multivariate Financial Time Series, ICA-GARCH Models, Value at Risk