convexfi / fitHeavyTailLinks
Mean and Covariance Matrix Estimation under Heavy Tails
☆22Updated 2 years ago
Alternatives and similar repositories for fitHeavyTail
Users that are interested in fitHeavyTail are comparing it to the libraries listed below
Sorting:
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆30Updated last year
- Large Deviations for volatility options☆13Updated 6 years ago
- ☆14Updated 6 years ago
- Supporting data package for the Portfolio Optimization Book☆25Updated 9 months ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- Markov Switching Models for Statsmodels☆24Updated 9 years ago
- R package for inference on the Sharpe ratio.☆20Updated 11 months ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- ☆68Updated 5 months ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆38Updated 3 weeks ago
- Design of Risk Parity Portfolios☆116Updated 3 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- R package for high frequency time series data management☆64Updated 6 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆67Updated 3 years ago
- Econometric Analysis of Explosive Time Series☆31Updated 2 months ago
- Real Time Monitoring of Asset Markets with R☆32Updated 6 months ago
- GAS models☆35Updated 4 years ago
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods☆13Updated 8 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- R Finance packages not listed in the Empirical Finance Task View☆13Updated 2 weeks ago
- ☆23Updated 8 months ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Nonlinear Nonparametric Statistics☆97Updated this week
- Python Code for Meucci Related Blog Posts☆15Updated 9 years ago
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆122Updated 7 years ago