lyylm2019 Goto Github PK

-measuring-volatility-spillovers

Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019

abminterference

This repository will contain the code for generating (Java) and analysing (R programming language) a simple multi-Agent Based Model (mABM) of patients in a 2D continuous space. The idea is to simulate (i) causal diagrams for interference, (ii) ABMs, and the contagion of a disease thought a social network.

afe2020

Advanced Financial Econometrics - Trinity Term 2020

archmodels.jl

A Julia package for estimating ARMA-GARCH models.

awesome-matlab

A curated list of awesome Matlab frameworks, libraries and software.

betategarch

:exclamation: This is a read-only mirror of the CRAN R package repository. betategarch — Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models. Homepage: http://www.sucarrat.net/

comparison-between-garch-type-models

The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of different GARCH-type models, including GARCH, EGARCH, TGARCH and GJRGARCH, when forecasting implied volatility.

covid-19

Novel Coronavirus (COVID-19) Cases, provided by JHU CSSE

covid-19-simulation

COVID-19 simulation via NetLogo and contagion study

dadengandhispython

【微信公众号：大邓和他的python】, Python语法快速入门https://www.bilibili.com/video/av44384851 Python网络爬虫快速入门https://www.bilibili.com/video/av72010301, 我的联系邮箱[email protected]

debtrank

DebtRank is a measure of systemic risk in financial networks

deep-learning-time-series-prediction-using-lstm-recurrent-neural-networks

This project aims to predict VOLATILITY S&P 500 (^VIX) time series using LSTM.

default-cascades

Cascading defaults model

dupirenn

Neural network local volatility with dupire formula

dyindex

dynamic-predict-bitcoin

ARIMA+EGARCH

dynamicnets.jl

Code for estimation of Large Dynamic Networks

egarch

E-GARCH estimation of volatilities for Value-Weighted stock market portfolios

egarch-1

egarch-model-

egarch_r

egarch implemantation with R

equities-forecasting

A project for APPM 3400 Applied Regression: forecasting equities prices with factors, SARIMAX, eGARCH, and GAS models.

ff-ssaepd-egarch

financial-contagion-in-r

financial_time_series

Financial time series forecasting - GARCH, EGARCH, ARMA, developed using R

frequencyconnectedness

Spectral decomposition of spillover measures

gar-connectedness-a-networks-approach

We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a popular area of discussion in recent years. Even more recently, it has been increasingly imperative to acknowledge GDP downside risk from the lower quantiles of its conditional distribution. Utilizing methods introduced by Adrian, Boyarchenko, and Giannone (2019), we observe the quantile dynamics of these 12 OECD member countries with respect to the vulnerability of GDP growth as a function of relative financial and economic conditions. Further, utilizing network estimation methods from Diebold and Yilmaz (2014), we find that network connectedness is stronger and more volatile at the 5th quantile compared to that at the 50th quantile, and that 5th quantile connectedness increases during the Financial Crisis of 2008. Finally, we decompose the country pairwise connectedness into explanatory channels, and find that along with trade and domestic financial conditions, foreign financial conditions are important in explaining the connectedness between two countries.

garch

Generalized Autoregressive Conditional Heteroskedastic from AndreyKolev

garch.jl

Julia GARCH package

garch.jl-1

Julia package mirror.