NikitaD1 / Estimating-term-structure-of-interest-rate-with-Kalman-FilterLinks
Repository for simulation and estimation of CIR one factor model parameters
☆11Updated 7 years ago
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
Sorting:
- Estimation and forecasting of VAR model with the Lasso☆31Updated last month
- ☆45Updated 9 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 6 years ago
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- NYU Tandon lecture slides☆31Updated this week
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Machine Learning functions for Finance☆9Updated 7 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Realized Volatility Forecasting modeling☆16Updated 8 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Replication of momentum strategy☆18Updated 3 years ago
- ☆40Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020☆9Updated last year
- ☆11Updated 9 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 6 months ago
- GAS models☆34Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- convertible bond pricing☆13Updated 10 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 8 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago