coolgan / calculate_ivixLinks
中国波动率指数IVIX(CBOE volatility index)
☆19Updated 4 years ago
Alternatives and similar repositories for calculate_ivix
Users that are interested in calculate_ivix are comparing it to the libraries listed below
Sorting:
- 计算中国偏度指数(CBOE skew index)☆13Updated 4 years ago
- Q-quant和因子投资实证汇总☆20Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- empirical asset pricing☆45Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- 量化研究-多因子模型☆21Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Equity return and characteristics of China A-Share market☆19Updated last year
- ☆15Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- 雪球结构产品定价☆29Updated last year
- Multi-Factor model with regression method☆9Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 9 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- convertible bond pricing project based on Monte Carlo simulation☆12Updated last year
- ☆23Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Quant_Strategy☆25Updated 2 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago