ionides / 531w16Links
Course materials for Stats 531 Winter 2016 (Analysis of Time Series)
☆13Updated 5 years ago
Alternatives and similar repositories for 531w16
Users that are interested in 531w16 are comparing it to the libraries listed below
Sorting:
- ☆14Updated 6 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- Markov Switching Models for Statsmodels☆24Updated 9 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆15Updated last year
- R package for inference on the Sharpe ratio.☆20Updated 10 months ago
- NYU Tandon lecture slides☆32Updated 4 months ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- How to use topology to decode binary signals in high-noise regimes.☆18Updated 5 years ago
- This file includes the code I've written for the course Numerical Method in finance, Stochastic Calculus in Spring 2020.☆11Updated 5 years ago
- Supporting data package for the Portfolio Optimization Book☆26Updated 9 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 6 years ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 4 years ago
- Lasso Quantile Regression☆31Updated 5 years ago
- Volatility Decomposition of Asset Price Time Series☆11Updated 6 years ago
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆121Updated 6 years ago
- R Finance packages not listed in the Empirical Finance Task View☆13Updated 2 weeks ago
- Monte Carlo Submission Examples☆17Updated last year
- R package for high frequency time series data management☆64Updated 5 months ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- ☆40Updated 6 years ago
- A framework for detecting misreported returns in hedge funds.☆16Updated 6 years ago