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☆53Updated 4 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Nonlinear Nonparametric Statistics☆86Updated this week
- Supporting data package for the Portfolio Optimization Book☆24Updated 6 months ago
- R package for high frequency time series data management☆64Updated 3 months ago
- Bayesian online change point detection and offline learning☆57Updated 5 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…☆37Updated last month
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆118Updated 6 years ago
- R package for inference on the Sharpe ratio.☆20Updated 8 months ago
- Design of Risk Parity Portfolios☆115Updated 2 years ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆65Updated 3 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Large Deviations for volatility options☆13Updated 6 years ago
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods☆12Updated 7 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Markov Switching Models for Statsmodels☆23Updated 9 years ago
- LSTM neural networks for nowcasting economic data.☆68Updated last year
- ☆14Updated 5 years ago
- GAS models☆34Updated 4 years ago
- Python library for multivariate dependence modeling with Copulas☆114Updated last year
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- ☆17Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 11 months ago
- ☆68Updated 2 months ago
- M6-Forecasting competition☆43Updated last year
- Lasso Quantile Regression☆31Updated 5 years ago