cosimoizzo / DDFM
Deep Dynamic Factor Models
☆14Updated 8 months ago
Related projects ⓘ
Alternatives and complementary repositories for DDFM
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆9Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- ☆63Updated last year
- ☆13Updated 4 months ago
- ☆23Updated 10 months ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆22Updated last year
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆23Updated 8 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆15Updated 6 months ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆10Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆57Updated last year
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated 6 months ago
- Equity return and characteristics of China A-Share market☆13Updated 10 months ago
- ☆13Updated 3 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- 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
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- ☆39Updated 5 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆15Updated 4 months ago
- ☆76Updated 4 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- ☆17Updated last year
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆22Updated last year
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆17Updated 5 years ago