CamDavidsonPilon / Graphical-Lasso-in-FinanceView external linksLinks
Implementations of the graphical lasso method to estimation of covariance matrices in finance.
☆36Oct 31, 2012Updated 13 years ago
Alternatives and similar repositories for Graphical-Lasso-in-Finance
Users that are interested in Graphical-Lasso-in-Finance are comparing it to the libraries listed below
Sorting:
- The code for network autoregression model (NAR)☆10May 12, 2016Updated 9 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Jun 22, 2021Updated 4 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Jul 3, 2018Updated 7 years ago
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods☆13Nov 29, 2017Updated 8 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- Lasso Quantile Regression☆31Jan 12, 2020Updated 6 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆15Jun 28, 2018Updated 7 years ago
- Python package for dynamic system estimation of time series☆40Oct 4, 2020Updated 5 years ago
- A simple implementation of a pairs trading strategy☆13Mar 17, 2015Updated 10 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Nov 28, 2017Updated 8 years ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 4 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆21Jun 4, 2025Updated 8 months ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Jul 13, 2022Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 9 years ago
- Bayesian Optimization of Risk Measures☆21Jan 10, 2024Updated 2 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆27Aug 28, 2017Updated 8 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Dec 8, 2022Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- QIFI协议下的Account实现☆27Sep 3, 2021Updated 4 years ago
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago
- ☆28Mar 20, 2021Updated 4 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Jun 21, 2023Updated 2 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆65Apr 25, 2024Updated last year
- Python implementation of a sample covariance matrix shrinkage experiment☆32Dec 2, 2013Updated 12 years ago
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago
- Python package for timeseries analysis and manipulation☆86Nov 2, 2016Updated 9 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Sep 15, 2019Updated 6 years ago
- GAS models☆35Jun 11, 2021Updated 4 years ago
- Implementation of several proposed algorithms to fuzzy time series prediction☆35May 4, 2022Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Feb 5, 2018Updated 8 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- The realization of Kernel Principle Component Analysis (KPCA) and its applications (Code + Description).☆12Sep 9, 2019Updated 6 years ago
- The codes in the toolbox can be used to perform nonlinear time series analysis on single(or multi) channel data. This is done by mapping …☆35May 4, 2021Updated 4 years ago
- 多因子策略回测框架☆33Oct 16, 2019Updated 6 years ago
- Software to calculate atomic scattering factors and properties for Quantum Crystallography☆13Updated this week
- Digtal Signal Processing using Matlab. Author John G. Proakis & Vinay K. Ingle☆11Nov 3, 2019Updated 6 years ago
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago