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:
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- quantitative asset allocation strategy☆34Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years 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
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- 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…☆36Updated 2 years ago
- Machine learning methods for identifing investment factors☆19Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆54Updated last year
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- ☆20Updated last year
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 11 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆14Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- ☆17Updated 4 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- detecting regime of financial market☆44Updated 3 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 8 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year