HoagieT / Factor-Augmented-Vector-Autoregression
An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a much larger data set and can be used in a big data setting.
☆13Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for Factor-Augmented-Vector-Autoregression
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- Machine learning methods for identifing investment factors☆14Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- ☆63Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆18Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- ☆25Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 5 months ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Multivariate GARCH modelling in Python☆15Updated last week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- ☆18Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- DCC GARCH modeling in Python☆85Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆31Updated 8 months ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆20Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- ☆20Updated last year
- Dynamic lead/lag inference for time series☆14Updated 5 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 3 months ago
- ☆15Updated 6 years ago
- Code that I show on my YouTube Channel☆91Updated last year