ARahimiQuant / forecasting-economic-and-market-regimesLinks
Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
☆13Updated last year
Alternatives and similar repositories for forecasting-economic-and-market-regimes
Users that are interested in forecasting-economic-and-market-regimes are comparing it to the libraries listed below
Sorting:
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Publicly available Python and Gretl code from posts at my blog Prognostikon☆9Updated last week
- Replication of https://ssrn.com/abstract=3984925☆39Updated last year
- Implements different approaches to tactical and strategic asset allocation☆36Updated 6 months ago
- ☆41Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆21Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 8 months ago
- ☆27Updated 2 weeks ago
- detecting regime of financial market☆37Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 4 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆19Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- ☆16Updated this week
- Deep Dynamic Factor Models☆21Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- ☆14Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- ☆11Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python Implementation of the CME FedWatch Tool for Estimating Probabilities of Federal Funds Rate Changes at Upcoming FOMC Meetings.☆27Updated last year
- Resources for Quantitative Finance☆15Updated 2 years ago
- Realized Volatility Forecasting modeling☆16Updated 8 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 3 months ago