anre005 / pinbasicLinks
R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)
☆14Updated 3 years ago
Alternatives and similar repositories for pinbasic
Users that are interested in pinbasic are comparing it to the libraries listed below
Sorting:
- Estimation and forecasting of VAR model with the Lasso☆32Updated 2 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Econometric Analysis of Explosive Time Series☆31Updated 4 months ago
- An R package for using mixed-frequency GARCH models☆74Updated 2 weeks ago
- ☆28Updated 4 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 8 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 5 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 6 months ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated last year
- Elements of Financial Risk Management in Python☆12Updated 5 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
- R package for high frequency time series data management☆66Updated last week
- R package AssetAllocation☆33Updated 2 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆52Updated 7 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- CoVaR estimation via quantile regression☆28Updated 8 years ago
- NYU Tandon lecture slides☆33Updated last week
- Enhanced Portfolio Optimization (EPO)☆17Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 7 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 4 years ago
- ☆55Updated 5 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 years ago
- Measuring the Market Risk Premium☆18Updated 3 years ago
- ☆11Updated 5 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Updated 4 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Updated 5 years ago
- ☆24Updated 8 years ago