ericwbzhang / Vol_prediction
Realized Volatility Forecasting modeling
☆14Updated 7 years ago
Related projects ⓘ
Alternatives and complementary repositories for Vol_prediction
- Daily kata from Quantitative Investment Portfolio Analytics In R☆13Updated 5 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- ☆41Updated 2 months 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
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆60Updated 6 months ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆47Updated 6 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆34Updated 3 weeks ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆76Updated 3 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 6 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆17Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- ☆15Updated 6 years ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- R package AssetAllocation☆34Updated 11 months ago
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 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
- Simple Risk Premia Strategy☆34Updated 3 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆22Updated last week
- ☆67Updated 8 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆61Updated last year