Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models (Master Dissertation)
☆14Sep 17, 2017Updated 8 years ago
Alternatives and similar repositories for BootstrapRisk
Users that are interested in BootstrapRisk are comparing it to the libraries listed below
Sorting:
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Jan 28, 2021Updated 5 years ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: https://github.com/alexiosg/r…☆29Jun 21, 2025Updated 8 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆33Apr 27, 2017Updated 8 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- Weekly exercises of the course of Stochastic Methods for Finance.☆11Apr 22, 2025Updated 10 months ago
- D-vine quantile regression☆11Dec 9, 2025Updated 2 months ago
- experimenting using vector db and ai image feature models to associate images to one another via vector database.☆10May 2, 2023Updated 2 years ago
- Maths-based (quantitative) asset allocation (stocks and bonds)☆15Oct 11, 2016Updated 9 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 years ago
- ☆10Dec 17, 2018Updated 7 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆12Jun 5, 2022Updated 3 years ago
- Credit Risk - IRB Model Validation - BASEL Requirement☆10Jul 26, 2015Updated 10 years ago
- Storm Database Explorer - Developing Data Products course project.☆11May 3, 2017Updated 8 years ago
- R package crs (Categorical Regression Splines)☆17Feb 23, 2026Updated last week
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Mar 18, 2025Updated 11 months ago
- In this project, this research generally investigates the financial time series such as the price & return of NASDAQ Composite Index usin…☆12Dec 7, 2018Updated 7 years ago
- The Value at Risk (VaR) calculation, Python version☆11Nov 1, 2019Updated 6 years ago
- 🔮 Alexa integration with Google Assistant☆10Nov 30, 2018Updated 7 years ago
- An API for interconnected risk models and risk data☆12Oct 22, 2024Updated last year
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆15Dec 6, 2022Updated 3 years ago
- Credit Default Swaps in R☆13Sep 13, 2017Updated 8 years ago
- Multivariate DCC-GARCH model☆16Sep 27, 2018Updated 7 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- Expected Shortfall Backtesting☆12Sep 3, 2023Updated 2 years ago
- Project includes scripts to set up a securities master database with stock and ETF timeseries data☆11Apr 20, 2016Updated 9 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- A package that provides tools for pricing credit default swaps (CDS).☆16Jul 30, 2014Updated 11 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Apr 24, 2020Updated 5 years ago
- programmable on-chain identity primitive protocol☆13Jun 23, 2022Updated 3 years ago
- Example luminus web app with PostgreSQL and Authentication☆15Sep 28, 2018Updated 7 years ago
- ☆14May 23, 2018Updated 7 years ago
- ☆14Feb 22, 2016Updated 10 years ago
- A Shiny App for Telecom Customers churn prediction☆12Sep 25, 2014Updated 11 years ago
- A gate level simulator and gate level netlist standard specification in Cairo☆17Feb 15, 2022Updated 4 years ago
- LSTM stock prediction and backtesting☆14Jan 11, 2020Updated 6 years ago
- Sample for building a churn prediction model with GraphLab Create☆17Jul 12, 2016Updated 9 years ago