blake-marsh / GARCH_replication
Replication of key GARCH model papers
☆33Updated 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
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆12Updated 5 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
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- ☆23Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Affine Term-Structure Models: Theory and Implementation☆12Updated 4 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- BSc Thesis on the Garch-Midas model☆24Updated 3 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆16Updated 4 years ago
- R Code CoVaR with Copula☆76Updated 5 months ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆10Updated last year
- Replication Code for Identifying Price Informativeness☆13Updated 3 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- Multivariate GARCH Models☆14Updated 2 months ago