Pinned Repositories
CaviaR
R code for CAViaR model
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)
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
DongYang-SWUFE's Repositories
DongYang-SWUFE/highOrderPortfolios
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
DongYang-SWUFE/CaviaR
R code for CAViaR model
DongYang-SWUFE/cvar
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
DongYang-SWUFE/Beautiful-Visualization-with-R
《R语言数据可视化之美》配套代码
DongYang-SWUFE/dynquant
dynquant - dynamic quantile regression models: CAViaR (different specifications), MVMQCAViaR, and Mixed Data Sampling versions of these models.
DongYang-SWUFE/MS_Regress-Matlab
Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models
DongYang-SWUFE/PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
DongYang-SWUFE/mf-bavart
Replication files for the paper "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
DongYang-SWUFE/mfGARCH
An R package for using mixed-frequency GARCH models
DongYang-SWUFE/midasml
midasML package is dedicated to run predictive high-dimensional mixed data sampling models
DongYang-SWUFE/Dynamic-Correlaton-between-commodity-and-stock-market-over-COVID19
DCC-GARCH written in R. ARIMAX & multivariate LSTM written in Python
DongYang-SWUFE/mMIDAS
Multivariate Mixed Frequency Data Sampling Model, an extension of Ghysels (2008) single variable MIDAS.
DongYang-SWUFE/esreg_ejs
Codes for A joint quantile and expected shortfall regression framework
DongYang-SWUFE/coskewkurtosis
DongYang-SWUFE/nowcasting
R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:
DongYang-SWUFE/var-es-assessment-of-cryptos
Value at Risk and Expected Shortfall estimations of cryptocurrencies
DongYang-SWUFE/MidasVaREs
DongYang-SWUFE/Multivariate-DCC-GARCH-model
Multivariate DCC-GARCH model
DongYang-SWUFE/mfbvar_replication
Replication files for the paper "A mixed-frequency Bayesian vector autoregression with a steady-state prior" by Ankargren, Unosson and Yang.
DongYang-SWUFE/BootstrapRisk
Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models (Master Dissertation)
DongYang-SWUFE/Volatility-Estimation-of-Multivariate-Financial-Time-Series-by-ICA-GARCH-Models
Multivariate Financial Time Series, ICA-GARCH Models, Value at Risk
DongYang-SWUFE/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/
DongYang-SWUFE/GARCH_replication
Replication of key GARCH model papers