Alternatives and similar repositories for ACTSC445-QERM-projects:

Users that are interested in ACTSC445-QERM-projects are comparing it to the libraries listed below

• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆38Updated 4 years ago
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 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 4 years ago
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• yangyang2000 / Dynamic-Factor-Model
  Python code for dynamic facctor model. (Preliminary and in progress)
  ☆22Updated 7 years ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆28Updated 4 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• AlexC0ffee / Value-at-Risk-VaR-
  Some code related to the VaR matheology.
  ☆9Updated 6 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 4 years ago
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• lnsongxf / Applied_Computational_Economics_and_Finance
  ECON457 2018 Applied Computational Economics and Finance
  ☆27Updated 7 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆25Updated 7 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 5 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆31Updated 2 weeks ago
• marcinbielecki / Applied_Macroeconomics
  Applied Macroeconomics, a course taught at the University of Warsaw
  ☆20Updated 4 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year
• as4456 / Leo_Krippner_SSR
  Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
  ☆14Updated 4 years ago
• BessieChen / R-in-Finance
  This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …
  ☆48Updated 6 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 6 months ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 4 months ago
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆27Updated 6 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆70Updated 2 years ago