Waleem / MSM
An R package for forecasting volatility, using the Markov Switching Multifractal model.
☆31Updated 7 years ago
Alternatives and similar repositories for MSM:
Users that are interested in MSM are comparing it to the libraries listed below
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- R package AssetAllocation☆34Updated last year
- ☆71Updated 4 months ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- Realized Volatility Forecasting modeling☆15Updated 7 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆22Updated 4 years ago
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆24Updated last year
- Multivariate GARCH Models☆14Updated 3 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆153Updated last year
- ☆45Updated 7 months ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- ☆45Updated 8 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- R package for high frequency time series data management☆61Updated this week
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 10 months ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 6 months ago
- GAS models☆34Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- R Finance packages not listed in the Empirical Finance Task View☆11Updated last month
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆37Updated 5 months ago