it can only analysis the correlation of two series but not include "x" which is low-frequency macro variable. The input arguments of DccMidas doesn't include "x", the macro economic variables, so is there any m
经济政策不确定性对股市、债市和基金市场动态相关性的影响——基于DCC-MIDAS_实证 2023年10月第26卷第20期 中国管理信息化 China Management Informationization Oct.,2023 Vol.26,No.20 经济政策不确定性对股市、债市和基金市场动态相关性的影响 ——基于DCC-MIDAS实证 马奕虹，蒋小莲 （桂林电子科技大学商学院，...
Package‘dccmidas’October13,2022 Type Package Title DCC Models with GARCH-MIDAS Specifications in the Univariate Step Version0.1.0 Description Estimates a variety of Dynamic Conditional Correlation(DCC)models.More in de-tail,the'dccmidas'package allows the estimation of the cor- rected DCC(cD...
We analyze the relation and contagion between the business cycle and financial volatility and then construct a DCC-MIDAS model to capture the dynamic relation between the business cycle and financial volatility. Then, we carry out an empirical analysis, finding comovement in the relation and ...
请教万能的雪球,有谁接触过,仅仅是接触就行,MATLAB语言的 garch-midas dcc-midas dcc-midas-x? 或者 R语言类似的包,或者Python类似的包。 韭菜要成神 不是学计算机的,不太懂, 孤帆远影碧空尽yy 2019-02-17 11:38 云里雾里 向阳而升 2019-02-15 15:15 ...
申请方汇总了上海立信会计金融学院中国上市银行系统重要性期限结构研究——基于DCC-MIDAS模型讲座介绍、报告人、讲座时间等信息,方便大家及时了解参加讲座。
2.R语言中基于混合数据抽样(MIDAS)回归的HAR-RV模型预测GDP增长 3.波动率的实现:ARCH模型与HAR-RV模型 4.R语言ARMA-EGARCH模型、集成预测算法对SPX实际波动率进行预测 5.GARCH(1,1),MA以及历史模拟法的VaR比较 6.R语言多元COPULA GARCH 模型时间序列预测 ...
)R语言中基于混合数据抽样(MIDAS)回归的HAR-RV模型预测GDP增长 3.[](http://tecdat.cn/r%e8%af%ad%e8%a8%80%e5%a6%82%e4%bd%95%e5%9c%...)波动率的实现:ARCH模型与HAR-RV模型 4.[](http://tecdat.cn/r%e8%af%ad%e8%a8%80%e4%b8%ad%e4%bd%bf%e7%94%...)R语言ARMA-EGARCH模型、...
2.R语言中基于混合数据抽样(MIDAS)回归的HAR-RV模型预测GDP增长 3.波动率的实现:ARCH模型与HAR-RV模型 4.R语言ARMA-EGARCH模型、集成预测算法对SPX实际波动率进行预测 5.GARCH(1,1),MA以及历史模拟法的VaR比较 6.R语言多元COPULA GARCH 模型时间序列预测 ...
MIDAS: Mixed-data sampling ML-ARCH: Maximum likelihood-autoregressive conditional heteroskedasticity MS-VARX: Markov regime-switching vector autoregressive with exogenous variables MSV: Multivariate stochastic volatility OECD: Organisation for economic cooperation and development ...