Kir1804 / Realized-volatility-forecasting-LASSO-approach-and-HARView external linksLinks
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)
☆10Dec 2, 2022Updated 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:
- This is the GitHub Repository for the paper "Charting New Avenues in Financial Forecasting with TimesNet: The Impact of Intraperiod and I…☆17Mar 18, 2024Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Jul 16, 2023Updated 2 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 7 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Oct 30, 2023Updated 2 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆18Jul 19, 2021Updated 4 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆21Jun 22, 2020Updated 5 years ago
- ☆26Sep 28, 2021Updated 4 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 9 years ago
- Set of templates and themes to apply CMAP graphics standards to R products.☆15Nov 26, 2025Updated 2 months ago
- A package for Bilateral and Multilateral Price Index Calculations☆11Jan 21, 2026Updated 3 weeks ago
- ☆10Nov 18, 2024Updated last year
- R Package for Bootstrap Unit Root Tests☆10May 5, 2025Updated 9 months ago
- Simple Telegram Bot written on FORTRAN for generating LaTeX pictures in private messages and inline mode☆10Jan 26, 2019Updated 7 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Nov 1, 2019Updated 6 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- AIFI bootcamp☆13Mar 2, 2022Updated 3 years ago
- ☆10Apr 5, 2022Updated 3 years ago
- Graphic styles and colours for Scottish Government plots☆17Jan 13, 2026Updated last month
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Sep 14, 2018Updated 7 years ago
- A quarto extension for writing teaching practicals☆12Sep 21, 2025Updated 4 months ago
- Quarto extension for an opinionated letter template with customized letter head☆11Jun 5, 2024Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆15Jun 19, 2023Updated 2 years ago
- Slides for the RSS International Conference 2023 workshop on data visualisation.☆10Aug 11, 2024Updated last year
- Package: Interactive Presentation Ninja☆10Jun 7, 2024Updated last year
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Template repository for creating a UU styled Quarto presentation☆12Oct 29, 2025Updated 3 months ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- A gamification solution for ESG stock portfolio ratings. 🌲🏙☆19May 25, 2022Updated 3 years ago
- My Quarto Slides Examples☆11Oct 6, 2024Updated last year
- I created some notebooks about different concepts of financial engineering☆10Sep 28, 2025Updated 4 months ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- Quarto Extension filter that adds a full screen button in the code blocks in RevealJs slides and html documents.☆14Apr 18, 2023Updated 2 years ago
- An automated Quarto + Typst CV☆14Aug 7, 2025Updated 6 months ago