cjporteo / ACTSC445-QERM-projects

Related projects ⓘ

Alternatives and complementary repositories for ACTSC445-QERM-projects

• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆24Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆27Updated 3 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆37Updated 3 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
  ☆19Updated 6 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• AlexC0ffee / Value-at-Risk-VaR-
  Some code related to the VaR matheology.
  ☆9Updated 6 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 5 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 3 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆20Updated 2 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆14Updated 6 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆11Updated 3 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 6 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆23Updated 3 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆12Updated 5 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆70Updated last month
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 6 years ago
• jhlinplus / high_dim_favar_estimation
  Regularized estimation of high-dimensional FAVAR models
  ☆8Updated 9 months ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 5 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 3 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 2 months ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆22Updated 6 years ago
• BessieChen / Algorithmic-Portfolio-Management-in-R-programming-language
  The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…
  ☆12Updated 6 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last week
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 2 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆13Updated 4 years ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆26Updated 3 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆15Updated 2 weeks ago
• dpicone1 / Vasicek_CIR_HoLee_HullWhite_Models_Python
  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes
  ☆45Updated 4 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆15Updated 4 years ago