lyx66/Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-

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lyx66/Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-

lyx66

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A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .

Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model

Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).

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Option-Hedging-Strategy-Modeling-based-on-Time-Value

Python code for a trading strategy based on time value performed in the SSE 50ETF option market.

MNIST-Image-Recognition-Based-on-Xgboost-Algorithm-and-Features-Extraction

Different from the common practice of MNIST image recognition using CNN algorithm, I apply Numpy and OpenCV to extract relevant features from each MNIST figure, and then trains Xgboost recognition model. After gradually adjusting parameters, the accuracy of the optimal model on the test set can reach 88%. In additon, since I've made extensive use of the broadcasting-mechanism of NumPy instead of loops when coding, the code can run at an excellent speed.

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STATA-Code-for-Constructing-Tail-Risk-Network

This is the STATA code that I used to compute pair-wise tail risk spillover, which is oputed by a R code, across 38 industries in China.

Get-Coordinates-Using-the-Fuzzy-Names-of-Places

This code is used to get coordinates (i.e., latitude and longitude) of some places using their fuzzy names from Google Maps.

STATA-Code-for-Negative-Shock-for-Each-Industry

This is the STATA code that I used to compute yearly shock, which is based on the financial data of listed companies, for 38 industries in China.

Get-Daily-Histrorical-Weather-Data-by-Coordinates

Code Find_weather is used to get daily histrorical weather data by coordinates (i.e., latitude & longitude) from NASA. Besides, code Find_AQ can be used to obtain hourly histrorical air pollution data by coordinates from OpenWeather API.

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limyingxin

Indian-Yields-Curve-Data-set