Alternatives and similar repositories for Estimating-term-structure-of-interest-rate-with-Kalman-Filter:

Users that are interested in Estimating-term-structure-of-interest-rate-with-Kalman-Filter are comparing it to the libraries listed below

• xuruilong100 / ATSMTI
  Affine Term-Structure Models: Theory and Implementation
  ☆13Updated 5 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 6 years ago
• returnandrisk / meucci-python
  Python Code for Meucci Related Blog Posts
  ☆16Updated 8 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆31Updated last week
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆39Updated 4 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆35Updated 9 years ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• klausspanderen / RHestonSLV
  ☆17Updated 3 years ago
• BessieChen / R-in-Finance
  This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …
  ☆48Updated 6 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆12Updated 4 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆17Updated 7 years ago
• AvinashAcharya / factorAnalytics
  R package factorAnalytics developed during Google Summer of Code 2016
  ☆24Updated 6 years ago
• R-Finance / Meucci
  ☆45Updated 8 years ago
• mfrdixon / gpusvcalibration
  Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs
  ☆11Updated 11 years ago
• yonghanjung / RegimeSwitching_GARCH
  ☆13Updated 9 years ago
• alexiosg / rmgarch
  Multivariate GARCH Models
  ☆14Updated 3 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• yye9701 / KR_example
  ☆22Updated 3 years ago
• tomasrubin / yield-curve-forecasting
  This repository provides the implementation of a handful of forecasting methods in yield curve modelling.
  ☆24Updated 4 years ago
• miabrahams / PricingTermStructure
  Pricing the Term Structure with Linear Regressions
  ☆37Updated 7 years ago
• andi-jo / ML_projection_toolbox
  Simple wrapper for machine learning models in the context of lead-lag projection modelling.
  ☆25Updated 6 years ago
• LechGrzelak / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆12Updated 2 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• matthewclegg / partialCI
  R package for fitting the partially cointegrated model
  ☆15Updated 2 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• monty-se / PINstimation
  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…
  ☆37Updated 5 months ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 10 months ago
• BessieChen / Algorithmic-Portfolio-Management-in-R-programming-language
  The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…
  ☆13Updated 6 years ago