Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
-
Updated
Aug 24, 2023 - HTML
Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
Application to finance
Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'
Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python
Analysis of a stock portfolio using time series tools
Add a description, image, and links to the value-at-risk topic page so that developers can more easily learn about it.
To associate your repository with the value-at-risk topic, visit your repo's landing page and select "manage topics."