wmxiaoshitou Goto Github PK

bvhar_networks

Replication code for "Fat Tails Serial Dependence and Implied Volatility Index Connections"

cam-notes

My Cambridge Lecture Notes

causalinferencebook_stata

Stata code for part 2 of the book Causal Inference, by Miguel Hernán and James Robins

complex-network

复杂网络研究资源整理和基础知识学习

connectednessapproach

connectednessapproach-1

dccmidas

:exclamation: This is a read-only mirror of the CRAN R package repository. dccmidas — DCC Models with GARCH-MIDAS Specifications in the Univariate Step

dynamicnets

fnets

Implementation of the 'fnets' methodology proposed in Barigozzi, Cho and Owens (2021) for network estimation and forecasting of high-dimensional time series

fvarseg

High-dimensional time series segmentation via factor-adjusted VAR modelling

gnar_code

Code for the GNAR model (by Xuening Zhu).

midasr

R package for mixed frequency time series data analysis.

nar

nar_old

The code for network autoregression model (NAR)

nnqr

"Modelling Systemic Risk using Neural Network Quantile Regression"

nwcommands

Social network analysis in Stata

systemicrisk

A framework for systemic risk valuation and analysis.

tenet

TENET: Tail-Event driven NETwork Risk

teres

TERES - Tail Event Risk Expectile based Shortfall

tvp-var-estimation-workshop

TVP VAR Workshop