Kem975 / Deep_Partial_Least_SquaresLinks
Source code for Deep Partial Least Squares for Empirical Asset Pricing.
☆15Updated 3 years ago
Alternatives and similar repositories for Deep_Partial_Least_Squares
Users that are interested in Deep_Partial_Least_Squares are comparing it to the libraries listed below
Sorting:
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- Large Deviations for volatility options☆13Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Quant finance scripts☆16Updated 8 months ago
- ☆22Updated 3 years ago
- A repository for portfolio allocation based on embedding data representation☆12Updated 11 months 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
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- ☆13Updated last year
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Updated 7 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- ☆21Updated 7 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- ☆70Updated 6 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Alpha model skeletons & examples☆12Updated 2 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆44Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago