Financial and Macroeconomic Connectedness is important for a number of financial activities, including but not limited to, risk management, asset allocation, and investment. Since its introduction, the connectedness method proposed by Diebold and Yilmaz (2014) has become one of the most popular econometrics approaches to measuring the connectedness index among financial and macroeconomic variables. There […]
Category Archives: Program packages
This category includes post referring to some program packages either written by our members or external scholars which you can freely use to perform your analyses. However, we are not responsible for any damage that may cause.
Our member, Dr. Trung Le, provides an R package to perform MIDAS-based VaR and ES forecasting. This package helps to calculate and predict VaR based on the Conditional Autoregressive Value at Risk (CAViaR) model of Engle and Mnagnelli (2004), MIDAS quantile regression of Ghysels et al. (2016). The package can also help to calculate ES […]
Our member, Dr. Trung Le, provides an R package to estimate the Autoregressive Conditional Density Model. There is an introduction to the package written in Vietnamese. You can read more and download the package following the link below. Read More
Our member, Dr. Trung Le, briefly reviews which statistical software can be used in econometrics analyses. The material is written in Vietnamese. Read More