Alternatives and similar repositories for Stochastic-Volatility:

Users that are interested in Stochastic-Volatility are comparing it to the libraries listed below

• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆38Updated 4 years ago
• mauep2025 / Global-Oil-Market
  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
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• msperlin / MS_Regress-Matlab
  Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models
  ☆51Updated 4 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 5 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 8 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• cspun / MLE-SRISK
  This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…
  ☆12Updated 2 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆33Updated 5 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• cosimoizzo / DDFM
  Deep Dynamic Factor Models
  ☆18Updated last year
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆17Updated 4 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 4 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆26Updated 3 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆13Updated 4 years ago
• YalDan / JumpDetectR
  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
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 6 months ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆70Updated 2 years ago