The code in this repository generates the results of the simulations and the empirical applications of the working paper Dimitriadis, T. and Hoga, Y. (2025), Dynamic CoVaR Modeling and Estimation, available on arXiv.
We unfortunately do not have the licence to make the data publicly available. The code of the empirical applications does of course not work without these files. We still publish the code to make it available for replication. It can be tested with publicly available or simulated data. The simulations of course work without any additional files.
The files for the simulations are available in the folder ‘simulations’. The file ‘sim_CoCAViaR.R’ generates the parameter estimates for the CoCAViaR models, which are saved under ‘simulations/data’. It is recommended to run the file on a cluster on 10+ kernels. The file ‘sim_CoCAViaR_eval.R’ evaluates these results and generates the output in the ‘simulations/output’ folder.
The predictions of Section 4 are generated by the file ‘application/FC_application_ModelFit.R’, which requires the publicly unavailable financial returns in the file ‘data_Assets.rds’. The file ‘application/FC_application_FCEvaluation.R’ evaluates these predictions and generates the output in the folder ‘application/output’. Finally, the file ‘application/FC_application_ModelParameters.R’ generates the parameter estimates for Table 3.