anhdanggit / volatility-garch-VaRLinks
Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
☆22Updated 7 years ago
Alternatives and similar repositories for volatility-garch-VaR
Users that are interested in volatility-garch-VaR are comparing it to the libraries listed below
Sorting:
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- ☆21Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ☆28Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- 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
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- ☆73Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆26Updated 3 years ago
- ☆53Updated last month
- A quantile dependent method to calculate the correlation between two series.☆20Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 6 months ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆70Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago