fw307 / high_dimensional_regression_comparison
Empirical comparison of penalized linear regression in high-dimensional settings
☆12Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for high_dimensional_regression_comparison
- Material for a Python for Finance workshop at the University of Melbourne in 2018☆16Updated 6 years ago
- Three Pass Regression Filter for R☆14Updated 9 years ago
- GAS models☆35Updated 3 years ago
- Regularized estimation of high-dimensional FAVAR models☆8Updated 9 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆26Updated 3 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆10Updated last year
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 6 years ago
- The code for network autoregression model (NAR)☆9Updated 8 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Shenzhen Winter Camp 2018☆28Updated 6 years ago
- Statistical inference on machine learning or general non-parametric models☆43Updated 6 months ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- R package for Markov regime-switching models☆11Updated 6 years ago
- Estimation and forecasting of VAR model with the Lasso☆26Updated last year
- State Space Estimation of Time Series Models in Python: Statsmodels☆42Updated 7 years ago
- ECON457 2018 Applied Computational Economics and Finance☆25Updated 7 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.☆17Updated last year
- ☆28Updated 3 years ago
- Code associated with paper: Orthogonal Machine Learning for Demand Estimation: High-Dimensional Causal Inference in Dynamic Panels, Seme…☆24Updated last year
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Updated 8 years ago
- ☆39Updated 5 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 3 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆37Updated 12 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
- This repository contains the experiments related with a new baseline model that can be used in forecasting weekly time series. This model…☆47Updated 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 modules for time-series analysis and empirical asset pricing.☆15Updated 4 years ago
- R package for Feature-based Forecast Model Averaging☆31Updated 4 years ago