Python package for canonical vine copula trees with mixed continuous and discrete marginals
☆49Dec 21, 2023Updated 2 years ago
Alternatives and similar repositories for mixedvines
Users that are interested in mixedvines are comparing it to the libraries listed below
Sorting:
- Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.☆15Oct 19, 2020Updated 5 years ago
- Copula-GP model☆16Oct 23, 2023Updated 2 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- A Python library for vine copula models☆120Nov 22, 2025Updated 3 months ago
- Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals☆17Jul 15, 2017Updated 8 years ago
- A C++ library for vine copula models (w/ interfaces to R + Python)☆36Jan 6, 2026Updated 2 months ago
- [TMLR 2023] V1T: Large-scale mouse V1 response prediction using a Vision Transformer☆23Oct 17, 2025Updated 4 months ago
- A library to model multivariate data using copulas.☆634Feb 23, 2026Updated last week
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- Non-stationary spectral mixture kernels implemented in GPflow☆29Nov 30, 2018Updated 7 years ago
- Python copulas library for dependency modeling☆102Oct 26, 2020Updated 5 years ago
- Kernel density estimation based on vine copulas☆16Sep 4, 2025Updated 6 months ago
- Python library for multivariate dependence modeling with Copulas☆117Jun 11, 2024Updated last year
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Dec 4, 2022Updated 3 years ago
- Multivariate data modelling with Copulas in Python☆160Feb 7, 2025Updated last year
- BlackScholes Model, with Montecarlo implmented in python with TensorFlow☆18Jan 5, 2016Updated 10 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Nov 28, 2017Updated 8 years ago
- The research provides effective management strategies for different asset portfolios in the financial sector by building models. The VMD-…☆20May 23, 2022Updated 3 years ago
- DCC GARCH modeling in Python☆102Jan 15, 2020Updated 6 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Feb 25, 2024Updated 2 years ago
- Python and Cython scripts of machine learning, econometrics and statistical tools designed for finance.☆23May 13, 2024Updated last year
- Statistical inference of vine copulas☆97Aug 7, 2025Updated 6 months ago
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 9 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Dec 8, 2022Updated 3 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Nov 3, 2020Updated 5 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- An open-source library crafting efficient algorithms for Mixed Integer Linear Programming (MILP) challenges.☆12May 4, 2024Updated last year
- Bayesian Adaptive Spline Surfaces for flexible and automatic regression☆25Jan 31, 2026Updated last month
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Sep 12, 2023Updated 2 years ago
- Example usage of scikit-hts☆57Jul 15, 2022Updated 3 years ago
- We got a stew going!☆27Oct 3, 2023Updated 2 years ago
- Python routines for Monte Carlo integration. Written in Cython and Python for fast computations. @Naereen knows the installation is broke…☆32Apr 8, 2025Updated 10 months ago
- stand alone Neural Additive Models, forked from google-reasearch for easy import to colab☆29Sep 29, 2020Updated 5 years ago
- Trading Suite☆34Feb 21, 2026Updated 2 weeks ago
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago