DanielBok / muarch
Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
☆20Updated 6 months ago
Alternatives and similar repositories for muarch:
Users that are interested in muarch are comparing it to the libraries listed below
- Multivariate GARCH modelling in Python☆16Updated 4 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- ☆24Updated last month
- ☆63Updated last month
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Dynamic lead/lag inference for time series☆15Updated 6 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆14Updated 4 years ago
- Large Deviations for volatility options☆12Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆19Updated 4 years ago