PedroBSB / mlRFinance
Machine Learning functions for Finance
☆10Updated 6 years ago
Related projects: ⓘ
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 8 years ago
- Estimation and forecasting of VAR model with the Lasso☆25Updated last year
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆18Updated 3 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆14Updated 2 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆21Updated 6 months ago
- Regularized estimation of high-dimensional FAVAR models☆8Updated 7 months ago
- ☆28Updated 3 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 5 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆15Updated 3 months ago
- Covariance Matrix Estimation via Factor Models☆30Updated 5 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 3 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆10Updated last year
- ☆17Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆25Updated last year
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆20Updated 7 months ago
- Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the …☆11Updated 7 years ago
- Time Series Modelling☆24Updated last month
- This repo contains all the code necessary to download, extract, and parse 13F filings on EDGAR.☆17Updated 3 years ago
- Set of R functions for high-dimensional econometrics☆30Updated 4 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- R package AssetAllocation☆33Updated 9 months ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆10Updated last year
- 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
- 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 Bayesian Vector Autoregression☆29Updated 4 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆16Updated 3 years ago