VBayesLab / Stochastic-Volatility
A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.
☆17Updated last year
Alternatives and similar repositories for Stochastic-Volatility:
Users that are interested in Stochastic-Volatility are comparing it to the libraries listed below
- The asymptotic normal distribution properties☆15Updated 7 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Replication of key GARCH model papers☆33Updated 9 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
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆51Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 6 months ago
- ☆23Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆27Updated 3 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆12Updated 2 years ago
- ☆39Updated 6 years ago
- ☆70Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- An R package for using mixed-frequency GARCH models☆70Updated 2 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- R code for CAViaR model☆29Updated 3 years ago
- ☆18Updated 2 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- R package for GARCH-MIDAS☆33Updated 5 years ago
- Systemic Risk - CoVaR☆13Updated 4 years ago