duffau / RNN_GARCHLinks
Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
☆68Updated 5 years ago
Alternatives and similar repositories for RNN_GARCH
Users that are interested in RNN_GARCH are comparing it to the libraries listed below
Sorting:
- DCC GARCH modeling in Python☆93Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- ARMA-GARCH☆97Updated last year
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆35Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- ☆50Updated 7 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆111Updated 6 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 7 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 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
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆88Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- Compute VIX and related volatility indices☆106Updated 6 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year