Alternatives and similar repositories for ACTSC445-QERM-projects:

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

• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 8 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
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 3 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
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 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
  ☆20Updated 6 years ago
• AlexC0ffee / Value-at-Risk-VaR-
  Some code related to the VaR matheology.
  ☆9Updated 6 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 6 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• xuruilong100 / EFRMinPython
  Elements of Financial Risk Management in Python
  ☆11Updated 4 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
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆25Updated 7 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 5 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
• jhlinplus / high_dim_favar_estimation
  Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020
  ☆8Updated last year
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆18Updated 4 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆75Updated 4 months ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 4 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆14Updated 3 years ago
• nickpoison / Stochastic-Volatility-Models
  R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
  ☆13Updated 2 years ago
• marcinbielecki / Applied_Macroeconomics
  Applied Macroeconomics, a course taught at the University of Warsaw
  ☆20Updated 4 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆27Updated 3 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆69Updated 2 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆31Updated 3 months ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago