cjporteo / ACTSC445-QERM-projectsView external linksLinks
Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock data.
☆15Jan 5, 2021Updated 5 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:
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Jun 22, 2021Updated 4 years ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Dec 4, 2022Updated 3 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Nov 28, 2017Updated 8 years ago
- Estimators and analysis for extreme value theory (EVT)☆22May 30, 2021Updated 4 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆49Dec 21, 2023Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 9 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Dec 8, 2022Updated 3 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆27Aug 28, 2017Updated 8 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 5 years ago
- R Code CoVaR with Copula☆77Sep 26, 2024Updated last year
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago
- Analyze Advanced Vehicle Telematics data analysis for insights into gear detection, fuel efficiency, driving patterns and safety using se…☆10Oct 8, 2023Updated 2 years ago
- ☆12May 26, 2016Updated 9 years ago
- Lasso Quantile Regression☆31Jan 12, 2020Updated 6 years ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Oct 31, 2012Updated 13 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- 大类资产配置☆11Jun 3, 2021Updated 4 years ago
- Replication of key GARCH model papers☆37Mar 10, 2016Updated 9 years ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆11Jul 19, 2019Updated 6 years ago
- Implementation of panel data regression (first differences, fixed effects) in python (numpy, pandas)☆12May 12, 2016Updated 9 years ago
- Spatial Seemingly Unrelated Regressions☆11Apr 22, 2022Updated 3 years ago
- mgarch Package for R-Project☆16Apr 28, 2014Updated 11 years ago
- ☆11Dec 4, 2024Updated last year
- A Los Angeles Times analysis of helicopter accident rates☆11Dec 21, 2020Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆42May 25, 2019Updated 6 years ago
- R scripts and related input and output data☆11Sep 9, 2025Updated 5 months ago
- Dumpy: A Compact and Adaptive Index for Large Data Series Collections (SIGMOD'23)☆13Dec 12, 2023Updated 2 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 2 months ago
- Quantnet: SFE quantlets☆11Oct 27, 2025Updated 3 months ago
- How to use curl and other Bash tools to make a mirror of dmv.ca.gov "Report of Traffic Accident Involving an Autonomous Vehicle (OL 316)"…☆11Jun 22, 2017Updated 8 years ago
- Campaign Finance Institute data exploration and download tool.☆12Mar 25, 2021Updated 4 years ago
- This repository contains the code and hyper-parameters for the paper: "Predicting taxi-passenger demand using streaming data, L. Moreira…☆13Jul 10, 2017Updated 8 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆14Feb 6, 2026Updated last week
- Finance 6470: Derivatives Markets☆10Apr 15, 2021Updated 4 years ago