blake-marsh / GARCH_replicationLinks
Replication of key GARCH model papers
☆34Updated 9 years ago
Alternatives and similar repositories for GARCH_replication
Users that are interested in GARCH_replication are comparing it to the libraries listed below
Sorting:
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 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…☆24Updated 3 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- R Code CoVaR with Copula☆76Updated 11 months ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ☆73Updated 2 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- ☆52Updated 2 weeks ago
- ☆108Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- Composite Indicators Framework for Business Cycle Analysis☆62Updated 3 years ago
- ☆40Updated 6 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆16Updated 5 months ago
- ☆28Updated 4 years ago
- Python Nowcasting☆127Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆22Updated 7 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 10 months ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago