NikitaD1 / Estimating-term-structure-of-interest-rate-with-Kalman-Filter
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
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- ☆39Updated 6 years ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- ☆45Updated 8 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Affine Term-Structure Models: Theory and Implementation☆12Updated 4 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 5 years ago
- GAS models☆34Updated 3 years ago
- Simple wrapper for machine learning models in the context of lead-lag projection modelling.☆25Updated 6 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 7 years ago
- Machine Learning functions for Finance☆9Updated 7 years ago
- NYU Tandon lecture slides☆31Updated last week
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- ☆10Updated 9 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- convertible bond pricing☆13Updated 10 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 3 months ago
- 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
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago