BessieChen / R-in-FinanceLinks
This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), and other active portfolio management strategies. The course implements volatility and price forecasting models, asset pricing and factor models, and portfolio optimization. The course applies machine learning …
☆50Updated 7 years ago
Alternatives and similar repositories for R-in-Finance
Users that are interested in R-in-Finance are comparing it to the libraries listed below
Sorting:
- ☆53Updated last month
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- ☆28Updated 4 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆159Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- Replication of key GARCH model papers☆34Updated 9 years ago
- NYU Tandon lecture slides☆32Updated 2 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- ☆46Updated 9 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- ☆76Updated 9 months ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- Functions for the construction of risk-based portfolios☆53Updated 4 years ago
- MSGARCH R Package☆80Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆41Updated 7 years ago
- ☆23Updated 8 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆16Updated 9 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆66Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- A framework for financial systemic risk valuation and analysis.☆174Updated 2 years ago
- ☆108Updated 3 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 2 months ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago