KarlNaumann / GarchMidas
BSc Thesis on the Garch-Midas model
☆19Updated 2 years ago
Related projects: ⓘ
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- DCC GARCH modeling in Python☆84Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆11Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆12Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆15Updated 3 years ago
- dynamic copula dcc garch estimate bank systematic risk☆13Updated 2 years ago
- Multivariate DCC-GARCH model☆14Updated 5 years 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.☆26Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆33Updated 3 years ago
- Machine learning methods for identifing investment factors☆14Updated 2 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆54Updated 5 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆16Updated 2 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆11Updated 2 years ago
- Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)☆54Updated 2 years ago
- Equity return and characteristics of China A-Share market☆13Updated 8 months ago
- ☆60Updated last year
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆22Updated 2 years ago
- Mixed Data Sampling (MIDAS) Modeling in Python☆18Updated 4 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
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated 7 months ago
- Multivariate GARCH modelling in Python☆12Updated 2 months ago
- Calculate U.S. equity (portfolio) characteristics☆78Updated last month
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆18Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆21Updated 8 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- ☆75Updated 2 months ago
- A quantile dependent method to calculate the correlation between two series.☆16Updated 3 years ago
- ☆17Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆34Updated 3 years ago