搜索资源列表
Var-calculation
- 基于MATLAB的风险价值VAR计算，包含蒙特卡洛模拟等相关源码。-MATLAB VAR calculation
var
- varconvince parametoric coef var
matlab-var-tools
- Programs in matlab to compute estimates of reduced form VAR s, optionallly using Bayesian priors formed dummy observations. The programs will compute integrated posteriors (for model comparison) and will compute impulse
VaR
- 风险价值度分析模型，给出了Var的求解方法即源程序-Risk value
VAr-CVaR
- CVaR的计算，以及cvar最优化的投资组合权重问题-VAR CVAR OPTIMAL
calculate-Var
- 《金融数量分析（第三版）》计算某一给定的资产组合的风险价值VaR，转换价格返回和形象化的历史回报。-Compute Value at Risk for a given portfolio，Convert price series to return series and visualize historical returns
VAR-CVaR
- VAR和cvar模型的matlab代码，广泛用于金融风险评价，为金融中风险经典指标-VAR CVAR
中国平安
- 基于历史模拟法的计算资产组合var，需要的同学可以下载看看，仅供参考(it is about how to cacullate var by the tool of matlab ,if you need ,you can download it)
vare
- var计算算法,可用于计算var中的参数识别，脉冲响应等。(Var calculation algorithm, can be used to calculate the parameters of VaR identification, pulse response, etc..)
TVPVAR
- Nakajima的TVP-VAR的MATLAB代码，操作简单，是学界常用的，与论坛上现有的不同。(Here is the code of TVP-VAR model, which is popular in existing papers.)
CVaROptimization.m
- calculate historical simulation of VaR
pvar2014
- 进行 面板数据VAR分析，连玉君老师论文中用到的，stata 代码(The VAR analysis of panel data, and the stata code used in the thesis of the teacher)
ARMAX_GARCH_K_SK_Toolbox
- garch族（garch,garchs,garchsk,gjr）模型的参数模拟，以及风险值 VaR 在不同水平下的估算。(garch group (garch, garchs, garchsk, gjr) parameters of the simulation model, and the estimated risk value VaR at different levels.)
风险价值Var计算
- 金融计算小程序，用于VaR计算等，可以在matlab下运行。(Financial computing applet)
VaR-EWMA& Historical simulation
- 用EWMA（garch（1，1））模型进行计算，rolling window的形式(use the method of rolling window size equals to 250, adopt EWMA model which also calls Garch(1,1) to calculate the Value at Risk)
derek_zhu201409252059（tvpvar）
- 做tvp-var模型的代码，主要是用来做向量自回归模型的(Code for tvp-var model)
VaRcode
- 这些代码是Matlab中的关于var风险价值的一些代码，对于金融风险度量非常的有用。(These codes are some of the code in Matlab about the value of var variability and are very useful for measuring financial risk)
程序.sas
- 使用sas对2005-2006年沪深300成分股进行var模型实证(Using SAS to make an empirical study on the VAR model of Shanghai and Shenzhen 300 share stocks for 2005-2006 years)
[Weeks]An_Introduction_to_Ox_and_OxMetrics
- MS-VAR操作手册+代码，可以清晰的帮助需要的人了解MSVAR是模型建立过程。(MS-var handbook, it can clearly help people understand the MS-var modle and its codes.)
MSVAR BY KROLZIG
- MS-VAR操作手册，内含示例代码，可以清晰的帮助需要的人了解MSVAR是模型建立过程。(MS-var handbook, it can clearly help people understand the MS-var modle and utilize and operate its codes.)