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frds
  • Supported Measures
    • Absorption Ratio
    • Contingent Claim Analysis
    • Distress Insurance Premium
    • Kyle’s Lambda
    • Lerner Index (Banks)
    • Limit Order Book Slope
    • Long-Run Marginal Expected Shortfall (LRMES)
    • Marginal Expected Shortfall
    • Option Prices
    • Probability of Informed Trading (PIN)
    • Spread and Price Impact
    • SRISK
    • Systemic Expected Shortfall
    • Z-score
  • Algorithms
    • GARCH(1,1)
    • GARCH(1,1) - CCC
    • GARCH(1,1) - DCC
    • GJR-GARCH(1,1)
    • GJR-GARCH(1,1) - DCC
  • Datasets
    • Stock Returns

Other

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  • Mingze Gao
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Datasets#

Some example datasets to use.

  • Stock Returns
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Stock Returns
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GJR-GARCH(1,1) - DCC
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