DanielBok / muarchLinks
Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
☆20Updated 10 months ago
Alternatives and similar repositories for muarch
Users that are interested in muarch are comparing it to the libraries listed below
Sorting:
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- DCC GARCH modeling in Python☆95Updated 5 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Multivariate GARCH modelling in Python☆17Updated 8 months ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Python library for multivariate dependence modeling with Copulas☆112Updated last year
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ARMA-GARCH☆97Updated last year
- ☆68Updated last month
- A quantile dependent method to calculate the correlation between two series.☆19Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- HAR-RV Model For Realized Volatility☆30Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- ☆20Updated 7 months ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆22Updated last year
- Implementation of a variety of Value-at-Risk backtests☆38Updated 6 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆69Updated 5 years ago