HoagieT / Factor-Augmented-Vector-AutoregressionLinks
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.
☆15Updated 5 years ago
Alternatives and similar repositories for Factor-Augmented-Vector-Autoregression
Users that are interested in Factor-Augmented-Vector-Autoregression are comparing it to the libraries listed below
Sorting:
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- quantitative asset allocation strategy☆36Updated last year
- DCC GARCH modeling in Python☆102Updated 6 years ago
- Replication of https://ssrn.com/abstract=3984925☆54Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆38Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 5 years ago
- ☆80Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 8 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- ☆20Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆147Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- ☆25Updated 7 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 11 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Updated 4 years ago
- ☆42Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆46Updated last year
- detecting regime of financial market☆45Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago