Kir1804 / Realized-volatility-forecasting-LASSO-approach-and-HARLinks
Based on the approaches which are presented in "Forecasting Realised Volatility: Does the LASSO approach outperform HAR?" (Yi Ding, Dimos Kambouroudis & David G McMillan, 2021) I predict realized volatility for different indices (UK, USA, Germany and others)
☆10Updated 3 years ago
Alternatives and similar repositories for Realized-volatility-forecasting-LASSO-approach-and-HAR
Users that are interested in Realized-volatility-forecasting-LASSO-approach-and-HAR are comparing it to the libraries listed below
Sorting:
- ☆13Updated last year
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 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
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 4 years ago
- Elements of Financial Risk Management in Python☆12Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 8 years ago
- Q-quant和因子投资实证汇总☆23Updated 4 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- 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
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 5 years ago
- Option Pricing with Machine Learning Methods☆15Updated last year
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- A lean package to estimate financial asset betas☆11Updated 2 years ago
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Updated 7 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Financial Machine Learning Repository☆11Updated last year
- ☆22Updated 3 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 6 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Heath–Jarrow–Morton model☆14Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 7 months ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 3 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Updated 7 years ago