jacob-hein / HAR-models-forecasting-realized-volatility-in-US-stocks
heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volatilty in select US stocks
☆14Updated 3 years ago
Alternatives and similar repositories for HAR-models-forecasting-realized-volatility-in-US-stocks:
Users that are interested in HAR-models-forecasting-realized-volatility-in-US-stocks are comparing it to the libraries listed below
- 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
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 6 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆17Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 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…☆19Updated 3 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- DCC GARCH modeling in Python☆92Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- ☆20Updated 2 months ago
- Realized Volatility Forecasting modeling☆15Updated 7 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- SVI volatility surface model and an example of China 50ETF option☆67Updated 4 years ago
- Modeling of intraday volatility and volume in financial markets☆15Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- ☆50Updated 7 years ago