Spectral decomposition of spillover measures

R Code CoVaR with Copula

An R package for using mixed-frequency GARCH models

Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.

R code for CAViaR model

Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.

Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation

The asymptotic normal distribution properties

Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock data.

Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.

GARCH and EVT

●We use the largest Weibo post corpus to understand the prevalent conspiracy and counteractive narratives regarding COVID-19 origination, over different phases during the pandemic, from Jan 1 to Ap…

Data Science algorithms and implementations using Python