Alternatives and similar repositories for JumpDetectR

Users that are interested in JumpDetectR are comparing it to the libraries listed below

• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• YalDan / hf.econometrics
  Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…
  ☆18Updated last year
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆19Updated 5 years ago
• 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
  ☆35Updated 9 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆37Updated 6 years ago
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆16Updated 6 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆43Updated 4 years ago
• Reckziegel / epo
  Enhanced Portfolio Optimization (EPO)
  ☆14Updated last year
• yye9701 / KR_example
  ☆22Updated 3 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 4 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆50Updated 5 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• wahido / neural_locVol
  ☆15Updated 4 years ago
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆15Updated last year
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• QuantEcon / dynamic_factor_models
  ☆41Updated 6 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆14Updated last year
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆31Updated 4 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆20Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• jgatheral / RationalRoughHeston
  ☆12Updated last year
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆65Updated 3 years ago
• monty-se / PINstimation
  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…
  ☆39Updated last year
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 5 years ago