KarlNaumann / GarchMidasLinks
BSc Thesis on the Garch-Midas model
☆28Updated 3 years ago
Alternatives and similar repositories for GarchMidas
Users that are interested in GarchMidas are comparing it to the libraries listed below
Sorting:
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- ☆71Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆93Updated 11 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Empirical Data and Some Simulation Codes☆103Updated 6 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆12Updated 4 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- Python Nowcasting☆127Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- Instrumented Principal Components Analysis☆231Updated 2 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- empirical asset pricing☆46Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Vine_Copula_based_ARMA_EGARCH☆10Updated 6 years ago
- Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)☆63Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆44Updated 5 years ago
- R code for CAViaR model☆29Updated 3 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- Machine learning methods for identifing investment factors☆24Updated 3 years ago
- ☆97Updated 5 months ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago
- ☆20Updated 2 years ago