Alternatives and similar repositories for MacroRandomForest:

Users that are interested in MacroRandomForest are comparing it to the libraries listed below

• yye9701 / KR_example
  ☆20Updated 2 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 3 months ago
• chrischia06 / Mean-Variance-Hedging
  Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈
  ☆14Updated 3 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 3 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 9 months ago
• juliansester / Robust-Portfolio-Optimization
  Markov decision processes under model uncertainty
  ☆14Updated 2 years ago
• cvxgrp / cvxstatarb
  ☆24Updated 2 weeks ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated 2 weeks ago
• asaficontact / FX_forecasting_model
  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
  ☆30Updated 2 years ago
• GiulioRossetti94 / PyBondLab
  ☆23Updated last week
• cagdemir / firm-characteristics-calculation
  Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
  ☆13Updated 4 years ago
• HoagieT / Factor-Augmented-Vector-Autoregression
  An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…
  ☆14Updated 4 years ago
• anthonyng2 / Time-Series-Momentum
  ☆17Updated 8 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 3 years ago
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆13Updated 9 months ago
• enexqnt / RBAA
  Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference
  ☆25Updated 2 years ago
• Feng-CityUHK / EquityCharacteristicsSAS
  US equity (portfolio) characteristics, the main file is in SAS.
  ☆17Updated last year
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆23Updated 2 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆13Updated 4 months ago
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated 4 months ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆12Updated 3 years ago
• tschm / TinyCTA
  Underlying package for the 10-line cta
  ☆10Updated this week
• SakethAleti / ECON-690-HighFrequencyEconometrics
  Code and documents from Econ 690 at Duke
  ☆9Updated 2 years ago
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆15Updated 9 years ago