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2007-2022年金融机构的系统性金融风险CoVaR、MES、DCC计算代码+计算结果+原始数据
20 个回复 - 2177 次查看一、指标说明：自2008年全球金融危机爆发以来，关于系统性风险的普遍认识开始从“太大而不能倒”向“太关联而不能倒”转变（Chen等，2020），人们逐渐意识到忽视金融机构间的关联性而采取孤立的微观审慎监管 ...2023-4-26 21:46 - 水亦清明 - 现金交易版

金融机构的系统性金融风险计算代码+计算结果+原始数据2007-2022年 CoVaR、MES、DCC
555 个回复 - 11354 次查看金融机构的系统性金融风险计算代码+计算结果+原始数据2007-2022年一、数据简介[/backcolor]：[/backcolor][/backcolor] 1、共包含四个系统性极值风险指标：[/backcolor][/backcolor]dcc方法计算的Δcovar、分位数 ...2023-5-25 09:15 - 联大 - 现金交易版

【Matlab代码】系统性风险计算代码（包含VaR、CoVaR、MES、DCC GARCH等）图片附件
6 个回复 - 927 次查看系统性风险计算代码代码跑出结果2023-6-17 09:43 - nn462060 - 现金交易版

【Matlab代码】系统性风险计算代码（包含VaR、CoVaR、MES、DCC GARCH等）
32 个回复 - 7238 次查看系统性风险计算代码代码跑出结果2022-1-1 20:24 - nn462060 - 现金交易版

求助下载书籍Large Covariance and Autocovariance Matrices
2 个回复 - 397 次查看【作者(必填)】 Arup Bose, Monika Bhattacharjee 【文题(必填)】 Large Covariance and Autocovariance Matrices 【年份(必填)】 2018 【全文链接或数据库名称(选填)】https://www.researchgate.net/publicat ...2023-5-23 11:21 - tjxxukai - 求助成功区

Large Sample Covariance Matrices and High-Dimensional Data Analyisis
1 个回复 - 395 次查看学习大数据非常好的一本书，作者: Jianfeng Yao has rich research experience on random matrix theory and its applications to high-dimensional statistics. In recent years, he has published many authoritat ...2023-2-6 09:36 - guoellicx - 商业数据分析

Wiley Series in Probability and Statistics：High-Dimensional Covariance Estimati
10 个回复 - 2709 次查看 Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of ...2013-10-9 08:11 - wpy7983 - 计量经济学与统计软件

Testing Kronecker Product Covariance Matrices for High-Dimensional Matrix-Variat
1 个回复 - 281 次查看【作者(必填)】 2323 【文题(必填)】 Testing Kronecker Product Covariance Matrices for High-Dimensional Matrix-Variate Data 【年份(必填)】 233 【全文链接或数据库名称(选填)】https://academic.oup.co ...2022-11-18 09:40 - internet.hzx - 求助成功区

重金求Large Sample Covariance Matrices and High Dimensional Data Analysis
16 个回复 - 3731 次查看求此书的电子版。不要那个前几章的预览版哟。2017-12-26 20:09 - crystal8832 - 悬赏大厅

High-dimensional Covariance Estimation 2013 Mohsen Pourahmadi
0 个回复 - 736 次查看电子书分享Title: High-Dimensional Covariance Estimation: With High-Dimensional Data Author(s): Mohsen Pourahmadi Publisher: Wiley Year: 20132020-4-12 20:25 - shashamiaomiao - 数据分析与数据挖掘

风险溢出模型|CoVaR、LRMES、COES、DY
0 个回复 - 995 次查看 CoVaR、MES、LRMES、COES、SRISK、Diebold-Yilmaz、BK溢出指数等风险溢出模型，可通过Copula、GARCH、DCC、分位数回归、TVP-VAR等方法实现。我熟悉以上模型。欢迎交流。2023-4-19 07:26 - 18650347648 - 计量经济学与统计软件

Large Sample Covariance Matrices and High-Dimensional Data Analysis
5 个回复 - 1062 次查看【作者(必填)】Jianfeng Yao, Shurong Zheng, Zhidong Bai 【文题(必填)】Large Sample Covariance Matrices and High-Dimensional Data Analysis 【年份(必填)】2015 【全文链接或数据库名称(选填)】https ...2018-8-1 16:55 - nivastuli - 求助成功区

Large Covariance and Autocovariance Matrices
3 个回复 - 1679 次查看 Large Covariance and Autocovariance Matrices brings together a collection of recent results on sample covariance and autocovariance matrices in high-dimensional models and novel ideas on how to use th ...2018-8-19 23:01 - nivastuli - 博弈论

Estimating Covariance Matrices
2 个回复 - 993 次查看【作者(必填)】 Robert Litterman and Kurt Winkelmann【文题(必填)】Estimating Covariance Matrices 【年份(必填)】1998 【全文链接或数据库名称(选填)】http://www.docin.com/p-104139756.html2014-11-6 19:12 - 迷途mitu - 求助成功区

Testing homogeneity of several covariance matrices
2 个回复 - 522 次查看【作者(必填)】 M. Rauf Ahmad 【文题(必填)】Testing homogeneity of several covariance matrices and multi-sample sphericity for[/backcolor] high-dimensional[/backcolor] data[/backcolor] under non-no ...2017-9-29 23:31 - ynlihuiqiong - 求助成功区

A simple comprehensive model for the analysis of covariance structures: Some rem
1 个回复 - 494 次查看【作者(必填)】Roderick P. McDonald 【文题(必填)】A simple comprehensive model for the analysis of covariance structures: Some remarks on applications 【年份(必填)】1980 【全文链接或数据库名称 ...2017-10-15 22:27 - qianhaoqi - 求助成功区

Large Dynamic Covariance Matrices
1 个回复 - 487 次查看【作者(必填)】 Robert F. Engle[/backcolor], Olivier Ledoit[/backcolor] & Michael Wolf[/backcolor] 【文题(必填)】 Large Dynamic Covariance Matrices【年份(必填)】 2017 【全文链接或数据库名称(选填)】 ...2017-7-19 16:47 - internet.hzx - 求助成功区

High Dimentional Covariance Estimation
1 个回复 - 1218 次查看 High Dimentional Covariance Estimation2015-7-18 19:29 - gy20081006 - 计量经济学与统计软件

Structured Robust Covariance Estimation
4 个回复 - 1163 次查看【作者(必填)】Ami Wiesel 【文题(必填)】Structured Robust Covariance Estimation 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://www.nowpublishers.com/article/Details/SIG-0532016-8-24 20:20 - MemMao - 求助成功区

求：Selection Bias and Covariate Imbalances in Randomized Clinical Trials
3 个回复 - 1082 次查看作者： Berger | Vance2013-4-19 15:15 - 鬼斧神工3 - 求助成功区

Nearly Optimal Covariate Designs - Part II
1 个回复 - 485 次查看【作者(必填】Ganesh Dutta Basanti Devi College 147B, Rash Behari Avenue Kolkata-700029, West Bengal, India & Bikas Kumar Sinha 【文题(必填)】 Nearly Optimal Covariate Designs - Part II 【年份(必 ...2016-9-22 22:32 - ozj9325 - 求助成功区

Nearly Optimal Covariate Designs - Part I
1 个回复 - 514 次查看【作者(必填)】Ganesh Dutta Basanti Devi College 147B, Rash Behari Avenue Kolkata-700029, West Bengal, India & Bikas Kumar Sinha 【文题(必填)】Nearly Optimal Covariate Designs - Part I 【年份(必填 ...2016-9-22 22:30 - ozj9325 - 求助成功区

求tandfonline文献一篇Tests of Covariance Matrices for High Dimensional Multivari
1 个回复 - 698 次查看【作者(必填)】Ahmad and Dietrich Von Rosenbc 【文题(必填)】Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality 【年份(必填)】2015 【全文链接或数据库名称(选 ...2016-8-10 02:15 - mgymgy - 求助成功区

High-Dimensional Covariance Estimation
0 个回复 - 1686 次查看 Part I: Motivation and the Basics Chapter 1: Introduction 1.1 Least Squares and Regularized Regression 1.2 Lasso: Survival of The Bigger 1.3 Thresholding The Sample Covariance Matrix 1.4 Sparse P ...2015-7-19 21:43 - gy20081006 - 计量经济学与统计软件

LOCAL LINEAR ESTIMATION OF COVARIANCE MATRICES
3 个回复 - 941 次查看【作者(必填)】Ziqi Chen and Chenlei Leng 【文题(必填)】LOCAL LINEAR ESTIMATION OF COVARIANCE MATRICES VIA CHOLESKY DECOMPOSITION 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://www3 ...2015-6-17 19:49 - 霞丽东林 - 文献求助专区

linear latent variable models and covariance structures
2 个回复 - 920 次查看【作者(必填)】Anderson, Theodore Wilbur 【文题(必填)】linear latent variable models and covariance structures 【年份(必填)】1989 【全文链接或数据库名称(选填)】2014-10-31 09:48 - hnzb - 求助成功区

Minimum-Variance Portfolios Based on Covariance Matrices Using Implied Volatilit
2 个回复 - 820 次查看【作者(必填)】Mehdi Mostowfi and Carolin Stier 【文题(必填)】Minimum-Variance Portfolios Based on Covariance Matrices Using Implied Volatilities: Evidence from the German Market 【年份(必填)】2 ...2013-11-20 20:11 - twinkle_2012 - 求助成功区

Computationally exploitable structure of covariance matrices and generalized con
1 个回复 - 784 次查看【作者(必填)】Dale L. Zimmermana 【文题(必填)】Computationally exploitable structure of covariance matrices and generalized convariance matrices in spatial models 【年份(必填)】Journal of Statist ...2013-7-6 05:08 - qoiqpwqr - 求助成功区

Using EM to obtain asymptotic variance-covariance matrices: The SEM algorithm
3 个回复 - 797 次查看【作者(必填)】Xiao-Li Meng and Donald B. Rubin[/backcolor] 【文题(必填)】Using EM to obtain asymptotic variance-covariancematrices: The SEM algorithm 【年份(必填)】1991 【全文链接或数据库名称 ...2013-5-2 15:56 - 一诺9257 - 求助成功区

论文on modeling mean-covariance structures in longitude studies
0 个回复 - 698 次查看 2012-12-1 16:51 - yuanAmicky - 计量经济学与统计软件

pls find 'Estimating Covariance Matrices' by R Litterman, K Winkelmann
2 个回复 - 909 次查看【作者(必填)】R Litterman, K Winkelmann 【文题(必填)】Estimating Covariance Matrices 【年份(必填)】1998 【全文链接或数据库名称(选填)】http://ukpmc.ac.uk/abstract/CIT/2916912012-10-3 10:17 - johnzi0128 - 文献求助专区

不胜感激，求一篇外文文献:Robust Covariance Estimates Based on Resampling
3 个回复 - 962 次查看【作者(必填)】STROMBERG, A. J. 【文题(必填)】Robust Covariance Estimates Based on Resampling 【年份(必填)】1997 【全文链接或数据库名称(选填)】2012-2-16 16:05 - lumin50 - 求助成功区

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
1 个回复 - 1367 次查看【作者(必填)】 Aït-Sahalia, Y. Fan, J. Xiu, D. 【文题(必填)】 High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 【年份(必填)】 2010 【全文链接或数据库名称 ...2011-12-24 13:32 - sqq19860225 - 求助成功区

请问Excel中怎么对covariance做 Cholesky decomposition和eigensystem decomposition
1 个回复 - 5331 次查看例如给出10只股票在过去10年中的每月平均价格变动百分比，对其做covariance matrics后，对得出的这个matrics要做Cholesky decomposition和eigensystem decomposition分解，请问在Excel中怎么操作呢？另外能否请求 ...2011-9-11 03:57 - wanglizero - 统计软件培训班VIP答疑区

8. Classical and High-Dimensional Tests for Covariance Matrices
1 个回复 - 675 次查看【作者(必填)】Yasunori Fujikoshi, Vladimir V. Ulyanov, Ryoichi Shimizu 【文题(必填)】8. Classical and High-Dimensional Tests for Covariance Matrices 【年份(必填)】2011 【全文链接或数据库名称( ...2013-6-6 02:21 - violinangel - 求助成功区

On spectral distribution of high dimensional covariation matrices-高维共变矩阵的谱分布
0 个回复 - 256 次查看 2004-11-26 22:11 - 苏联模式865 - Forum

On spectral distribution of high dimensional covariation matrices
0 个回复 - 153 次查看 2004-11-26 21:22 - 投融资582 - Forum

On covariation estimation for multivariate continuous It? semimartingales w...
0 个回复 - 281 次查看 2004-11-14 20:41 - 增速472 - Forum

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