Alternatives and similar repositories for JumpDetectR

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

• YalDan / hf.econometrics
  Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…
  ☆18Updated last year
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆36Updated 6 years ago
• Reckziegel / epo
  Enhanced Portfolio Optimization (EPO)
  ☆14Updated last year
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆41Updated 4 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 3 years ago
• 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
• yye9701 / KR_example
  ☆22Updated 3 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆34Updated 9 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• xuruilong100 / ATSMTI
  Affine Term-Structure Models: Theory and Implementation
  ☆13Updated 5 years ago
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆16Updated 5 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆13Updated 4 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…
  ☆40Updated 11 months ago
• QuantEcon / dynamic_factor_models
  ☆40Updated 6 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆19Updated last year
• GiulioRossetti94 / PyBondLab
  ☆28Updated 3 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• jgatheral / RationalRoughHeston
  ☆11Updated last year
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆53Updated 4 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• chenandrewy / flex-mining
  code for turning data sets into trading strategies
  ☆37Updated last month