NikitaD1 / Estimating-term-structure-of-interest-rate-with-Kalman-Filter
Repository for simulation and estimation of CIR one factor model parameters
☆11Updated 6 years ago
Related projects: ⓘ
- Estimation and forecasting of VAR model with the Lasso☆25Updated last year
- Covariance Matrix Estimation via Factor Models☆30Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆26Updated 3 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- CoVaR estimation via quantile regression☆20Updated 6 years ago
- Regularized estimation of high-dimensional FAVAR models☆8Updated 7 months ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- ☆20Updated 9 months ago
- Elements of Financial Risk Management in Python☆11Updated 3 years ago
- ☆37Updated 5 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆31Updated last month
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆18Updated 3 years ago
- Practical applications towards risk-centric portfolio management☆41Updated 8 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- NYU Tandon lecture slides☆29Updated last week
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆45Updated 6 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆14Updated 2 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆10Updated last year
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 3 years ago
- Machine Learning functions for Finance☆10Updated 6 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆12Updated 5 years ago
- ☆12Updated 8 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆29Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆14Updated 4 years ago
- Testing for bubbles with R☆18Updated 4 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 5 years ago
- Quantitative Risk Management Concepts☆12Updated 7 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆20Updated 7 months ago