DanielBok / muarchLinks
Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
☆20Updated last year
Alternatives and similar repositories for muarch
Users that are interested in muarch are comparing it to the libraries listed below
Sorting:
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆27Updated 8 years ago
- Non-Linear Covariance Shrinkage☆14Updated 4 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 8 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- DCC GARCH modeling in Python☆102Updated 6 years ago
- A quantile dependent method to calculate the correlation between two series.☆20Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- HAR-RV Model For Realized Volatility☆32Updated 9 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- ARMA-GARCH☆103Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 5 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Updated 4 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- ☆70Updated 7 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆13Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Python library for multivariate dependence modeling with Copulas☆116Updated last year
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- Composite Indicators Framework for Business Cycle Analysis☆64Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 4 years ago