Topaceminem / DCC-GARCHLinks
DCC GARCH modeling in Python
☆96Updated 5 years ago
Alternatives and similar repositories for DCC-GARCH
Users that are interested in DCC-GARCH are comparing it to the libraries listed below
Sorting:
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- ARMA-GARCH☆97Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆69Updated 5 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- ☆71Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 5 months ago
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆44Updated 5 years ago
- Multivariate GARCH modelling in Python☆17Updated 9 months ago
- ☆20Updated 6 months ago
- This repository hosts my reading notes for academic papers.☆88Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Instrumented Principal Components Analysis☆231Updated 2 years ago
- Implementation of (Re-)Imag(in)ing Price Trends☆73Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Implementation of 5-factor Fama French Model☆129Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆63Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year