A framework for historical volatility estimation and analysis.
☆36Jun 14, 2020Updated 6 years ago
Alternatives and similar repositories for HistoricalVolatility
Users that are interested in HistoricalVolatility are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A framework for detecting misreported returns in hedge funds.☆16Aug 25, 2019Updated 7 years ago
- A framework for estimating Basel IV capital requirements.☆26Jul 23, 2019Updated 7 years ago
- An Excel integration of OpenGamma Strata.☆13Sep 19, 2021Updated 5 years ago
- A framework for financial systemic risk valuation and analysis.☆193Jan 5, 2023Updated 3 years ago
- Calculate a stock's historical volatility using Yahoo Finance .CSV file☆12Oct 23, 2015Updated 11 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Jun 13, 2019Updated 7 years ago
- Python library for analyzing, simulating, and visualizing discrete-time Markov chains and hidden Markov models.☆96Updated this week
- Matlab implementation of "Iterated Cumulative Sum of Squares for retrospective detection of changes of variance"☆11Aug 20, 2013Updated 13 years ago
- Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds,…☆19Feb 26, 2021Updated 5 years ago
- ☆26Mar 8, 2019Updated 7 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆11Jun 11, 2019Updated 7 years ago
- Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming☆15Dec 21, 2021Updated 4 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- Collection of linear & nonlinear (Kalman) Filters for economic models☆11Jul 11, 2024Updated 2 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- FDPE Field course in fall 2018☆10Sep 11, 2018Updated 8 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 3 years ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 4 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆14Jan 11, 2018Updated 8 years ago
- Demonstration of the Reiter method for solving models with heterogeneous agents and aggregate shocks in general equilibrium. Solves a sim…☆10Oct 19, 2017Updated 9 years ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Apr 19, 2021Updated 5 years ago
- A MATLAB toolbox for exporting publication quality figures☆13Nov 10, 2016Updated 9 years ago
- Code for Vector Quantile Regression (Carlier, Chernozhukov, Galichon, Annals of Statistics, 2016)☆17Sep 2, 2021Updated 5 years ago
- Replicates the script for generating the Wu Xia shadow rate term structure model in python☆10Jan 12, 2016Updated 10 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Codes used to estimate a Dynamic Stochastic General Equilibrium (DSGE) model using Bayesian Estimation techniques.☆12Jun 24, 2020Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 9 years ago
- HRP algorithm for portfolio management in python.☆12Jan 31, 2021Updated 5 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Quadratic program minimizing risk while maintaining an expected return with the addition of rollover in the foreign exchange market☆12Nov 2, 2016Updated 10 years ago
- Measuring the Market Risk Premium☆19Mar 30, 2026Updated 7 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Jul 3, 2018Updated 8 years ago
- Simple life cycle model following Costa Dias and O'Dea☆18Mar 4, 2024Updated 2 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- ClassicAssist public macro repository☆14Aug 9, 2026Updated 2 months ago
- ☆14Apr 1, 2019Updated 7 years ago
- Workshop on scientific computing for economists with Python and Julia☆18Aug 9, 2016Updated 10 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆16Dec 16, 2015Updated 10 years ago
- ☆10Nov 17, 2015Updated 10 years ago
- Hierarchical Risk Parity☆29Feb 26, 2020Updated 6 years ago
- A set of MATLAB and OCTAVE programs for the statistical analysis of linear time series using mainly state space methods☆13Oct 20, 2026Updated last week