andreranza / pca-yield-curve-modelling
Master's degree dissertation: Yield Curve Modeling with Principal component analysis.
☆17Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for pca-yield-curve-modelling
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Option Volatility and Pricing Models.☆10Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆36Updated 3 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆32Updated 2 weeks ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆13Updated 5 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆31Updated 5 years ago
- R package AssetAllocation☆34Updated 11 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆23Updated 8 years ago
- Predictive yield curve modeling in reduced dimensionality☆39Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- A collection of scripts for modelling financial markets & options in R.☆41Updated 3 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆25Updated 3 years ago
- Elements of Financial Risk Management in Python☆11Updated 3 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated 3 months ago
- SOFR curve bootstrapping☆21Updated 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
- ☆15Updated 6 years ago
- Python Code for Quantitative Finance Papers☆35Updated last month
- ☆41Updated 2 months ago
- ☆23Updated last year
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆23Updated 8 months ago
- ☆28Updated 3 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆39Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 2 months ago
- Teaching Resources for Cuemacro courses☆53Updated this week