frequencyConnectedness-master_(1).zip - 信息溢出,可以检验均值、波动率的单向溢出、净溢出、总溢出,具有时变的特征
新建文本文档.rar - 估算波动率的动态条件相关系数,衡量两个金融市场之间的风险溢出效应
W=500 H=5.rar - 计算静态和动态的DY溢出指数(包括收益率和波动率)
SpillOver_DY.zip - 计算Diebold and Yilmaz(2014)溢出指数
Diebold F X, Yilmaz K. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 2012, 28(1): 57-66.
R语言copula.zip - R语言对数据进行Garch-t-Copula建模和Garch-Clayton-Copula建模
CVaR.zip - 内含金融风险管理CVaR(条件在险价值)的核心程序,可扩展性强。
MFE_Toolbox_Documentation.zip - MFE Toolbox 的使用说明书。
著名Nobel经济学奖Robert Engle教授的学生Kelvin sheppart教授一起开发的软件之一,注重于GARCH设计。加强来自Bollerslev, Tim CCC-garch的统计学.内有Bootstrap method, GJR-garch, Figarch.等Garch 的工具。
kevinsheppard-mfe_toolbox-a93d075a449e.zip - A matlab code which is a very useful toolbox from the internet
GarchTest.rar - Demo of some Garch models, include ugarch, dcc-garch, ica-garch, and neural network garch, and ica-nn-garch. the last two model are proposaed by me
dcc-garch.zip - 用R语言做dcc-garch 模型的全过程代码