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:
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 4 years ago
- Supporting data package for the Portfolio Optimization Book☆25Updated 11 months ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- Nonlinear Nonparametric Statistics☆99Updated last week
- Bayesian online change point detection and offline learning☆58Updated 6 years ago
- R package for high frequency time series data management☆65Updated 7 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆69Updated 3 years ago
- R package for inference on the Sharpe ratio.☆20Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Large Deviations for volatility options☆13Updated 6 years 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
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆123Updated 7 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- Design of Risk Parity Portfolios☆117Updated 3 years ago
- Real Time Monitoring of Asset Markets with R☆32Updated 7 months ago
- ☆14Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Markov Switching Models for Statsmodels☆24Updated 9 years ago
- Python library for multivariate dependence modeling with Copulas☆115Updated last year
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- R Finance packages not listed in the Empirical Finance Task View☆13Updated 3 weeks ago
- R package for Feature-based Forecast Model Averaging☆35Updated 5 years ago
- M6-Forecasting competition☆43Updated last year
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Updated 3 years ago
- MSGARCH R Package☆82Updated 3 years ago
- LSTM neural networks for nowcasting economic data.☆70Updated last year