PedroBSB / mlRFinance
Machine Learning functions for Finance
☆9Updated 7 years ago
Alternatives and similar repositories for mlRFinance:
Users that are interested in mlRFinance are comparing it to the libraries listed below
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 8 months ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the …☆11Updated 8 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 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
- ☆28Updated 3 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- ☆10Updated 9 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 9 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 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
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 9 months ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆14Updated 3 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Shiny app for IFRS provisioning and estimated loss report☆10Updated 3 years ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆18Updated last year
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- R package AssetAllocation☆35Updated last year
- Testing for bubbles with R☆19Updated 5 years ago
- Time Series Modelling☆24Updated 7 months ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 5 years ago