Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
☆20Sep 3, 2024Updated last year
Alternatives and similar repositories for muarch
Users that are interested in muarch are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 6 years ago
- Replication of key GARCH model papers☆37Mar 10, 2016Updated 10 years ago
- Multivariate GARCH modelling in Python☆16Jul 1, 2026Updated last month
- Loose collection of Jupyter notebooks, mostly for my blog☆28Nov 10, 2024Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Multivariate data modelling with Copulas in Python☆162Feb 7, 2025Updated last year
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 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
- Exploratory notebook . Techniques used: FFT, ARIMA, GARCH, Monte Carlo Simulations, fbprophet, LSTM, WaveNet.☆12Jul 11, 2022Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 2 years ago
- A quantile dependent method to calculate the correlation between two series.☆20Oct 5, 2020Updated 5 years ago
- Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.☆15Oct 19, 2020Updated 5 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 5 years ago
- This is a read-only mirror of the CRAN R package repository. copula — Multivariate Dependence with Copulas. Homepage: https://copula.r-…☆11Feb 20, 2026Updated 5 months ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 2020Updated 5 years ago
- A pure python implementation for vine copulas☆42Apr 2, 2026Updated 4 months ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- Covariance prediction via convex optimization☆22Feb 23, 2021Updated 5 years ago
- CopulaGNN: Towards Integrating Representational and Correlational Roles of Graphs in Graph Neural Networks (ICLR 2021)☆14Dec 5, 2022Updated 3 years ago
- DCC GARCH modeling in Python☆108Jan 15, 2020Updated 6 years ago
- This is the time series forecasting models modified by xinze.zh.☆12Mar 10, 2023Updated 3 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- 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
- 多因子模型相关☆23Jun 16, 2021Updated 5 years ago
- Detection of abnormal patterns in electricity usage via time series forecasting☆11Apr 15, 2018Updated 8 years ago
- A C++ library for vine copula models (w/ interfaces to R + Python)☆36Jul 24, 2026Updated 2 weeks ago
- Multivariate GARCH Models☆18Aug 31, 2025Updated 11 months ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Dec 15, 2019Updated 6 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆19May 21, 2021Updated 5 years ago
- A Python library for vine copula models☆124Updated this week
- ☆72Jul 13, 2026Updated 3 weeks ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 4 years ago
- 本项目主要是对2008年1月1日-2021年12月31日我国1343家非金融企业的系统性风险进行测度并对风险传染机制进行分析，其主要内容包含以下两个部分：（1）基于DCC-GARCH模型的系统性风险（MES）测度，（2）复杂网络的抗毁性分析☆15May 28, 2022Updated 4 years ago
- Use ARIMA, RNN and LSTM to predict foreign exchange rates.☆10Nov 15, 2019Updated 6 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆21Feb 25, 2024Updated 2 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- ☆12Sep 11, 2023Updated 2 years ago