Alternatives and similar repositories for GARCH_replication

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

• 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
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆36Updated 6 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• miabrahams / PricingTermStructure
  Pricing the Term Structure with Linear Regressions
  ☆41Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆12Updated 4 years ago
• bashtage / mfe-toolbox
  ☆108Updated 3 years ago
• xuruilong100 / ATSMTI
  Affine Term-Structure Models: Theory and Implementation
  ☆13Updated 5 years ago
• wesley1001 / factorlab
  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
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆73Updated 2 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
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• QuantEcon / dynamic_factor_models
  ☆40Updated 6 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• mgao6767 / frds
  Financial research data services for academics.
  ☆96Updated last month
• ZhangZhiHu / assetPricing
  ☆23Updated 8 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆23Updated 7 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆27Updated 2 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆19Updated last year
• HoangT1215 / Finance-papers-replication
  My replication of financial papers.
  ☆19Updated 7 years ago
• JustinMShea / ExpectedReturns
  ☆53Updated last month
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆31Updated 4 years ago
• mk0417 / momentum
  Replication of momentum strategy
  ☆18Updated 3 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 7 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• Quantoria / Risk_Budgeting
  Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation
  ☆22Updated 8 years ago
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆17Updated 7 months ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago