Alternatives and similar repositories for GarchMidas

Users that are interested in GarchMidas are comparing it to the libraries listed below

• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 5 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆73Updated 2 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆95Updated last year
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆96Updated 5 years ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆13Updated 4 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆127Updated 4 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆34Updated 5 years ago
• leeway00 / Asset-Pricing-via-ML
  Empirical asset pricing via Machine Learning in the Korean market
  ☆39Updated last year
• xiubooth / ML_Codes
  Empirical Data and Some Simulation Codes
  ☆103Updated 6 years ago
• Quantactix / ChinaAShareEquityCharacteristics
  Equity return and characteristics of China A-Share market
  ☆20Updated last year
• whyecofiliter / EAP
  empirical asset pricing
  ☆47Updated last year
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆20Updated 4 years ago
• bkelly-lab / ipca
  Instrumented Principal Components Analysis
  ☆232Updated 3 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆10Updated 6 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆65Updated 3 years ago
• kristina969 / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
  Machine learning methods for identifing investment factors
  ☆25Updated 3 years ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆135Updated 4 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆21Updated 7 years ago
• RichardS0268 / Autoencoder-Asset-Pricing-Models
  Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
  ☆96Updated last week
• iankhr / fintools
  The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
  ☆20Updated 5 years ago
• kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
  Machine learning methods for identifing investment factors
  ☆18Updated 3 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆21Updated 2 years ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆45Updated 5 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆26Updated 2 years ago