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
- Multivariate data modelling with Copulas in Python☆162Feb 7, 2025Updated last year
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Nov 10, 2024Updated last year
- 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.
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 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
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16May 16, 2021Updated 5 years ago
- A pure python implementation for vine copulas☆42Apr 2, 2026Updated 3 months 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 4 months ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 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
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- VQ-TR repository☆12Apr 18, 2024Updated 2 years ago
- This is the time series forecasting models modified by xinze.zh.☆12Mar 10, 2023Updated 3 years ago
- 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
- Detection of abnormal patterns in electricity usage via time series forecasting☆11Apr 15, 2018Updated 8 years ago
- Operator Deep Smoothing☆16May 22, 2026Updated last month
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆13Apr 12, 2023Updated 3 years ago
- A C++ library for vine copula models (w/ interfaces to R + Python)☆35Updated this week
- 多因子模型相关☆23Jun 16, 2021Updated 5 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.
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Dec 15, 2019Updated 6 years ago
- ☆72Jun 13, 2025Updated last year
- DCC GARCH modeling in Python☆108Jan 15, 2020Updated 6 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 3 years ago
- Copula Granger causality for continuous time series☆12May 1, 2017Updated 9 years ago
- Multivariate GARCH Models☆18Aug 31, 2025Updated 10 months ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆19Jun 10, 2022Updated 4 years ago
- A Python library for vine copula models☆124Jun 26, 2026Updated last week
- 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
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- ☆14Mar 1, 2024Updated 2 years ago
- A header-only wrapper library for calling NLopt optimization in a single line using Eigen::VectorXd☆16Nov 11, 2025Updated 7 months ago
- Use ARIMA, RNN and LSTM to predict foreign exchange rates.☆10Nov 15, 2019Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- A C++/Python library for numerical optimization calculations☆14Mar 6, 2025Updated last year
- ☆12Sep 11, 2023Updated 2 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