cjporteo / ACTSC445-QERM-projectsLinks
Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock data.
☆15Updated 4 years ago
Alternatives and similar repositories for ACTSC445-QERM-projects
Users that are interested in ACTSC445-QERM-projects are comparing it to the libraries listed below
Sorting:
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- ☆28Updated 4 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 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
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- R Code CoVaR with Copula☆76Updated 11 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.☆56Updated last year
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 8 years ago
- Functions for the construction of risk-based portfolios☆53Updated 4 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 8 years ago
- LSTM neural networks for nowcasting economic data.☆69Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 9 months ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- ☆40Updated 6 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 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
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 11 months ago
- NYU Tandon lecture slides☆32Updated 2 months ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆15Updated 4 years ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆52Updated last year
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago