johntwk / Diebold-Mariano-Test

Related projects ⓘ

Alternatives and complementary repositories for Diebold-Mariano-Test

• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆58Updated 2 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆57Updated last year
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆65Updated 5 years ago
• Bturan19 / Neural-Garch-Hybrid-Model-Implementation
  By combining GARCH(1,1) and LSTM model implementing predictions.
  ☆54Updated 5 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆85Updated 4 years ago
• yatshunlee / CAViaR
  Measure market risk by CAViaR model
  ☆9Updated 7 months ago
• iankhr / armagarch
  ARMA-GARCH
  ☆90Updated last year
• maximenc / pycop
  Python library for multivariate dependence modeling with Copulas
  ☆100Updated 5 months ago
• kevindaffaarr / pySpillovers
  Volatility Spillovers based on Diebold and Yilmaz 2012
  ☆16Updated 2 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆63Updated last year
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆15Updated last week
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆19Updated 2 months ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆15Updated 2 years ago
• Buczman / CaviaR
  R code for CAViaR model
  ☆27Updated 2 years ago
• LouisChen1992 / Deep_Learning_Asset_Pricing
  ☆25Updated 3 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆21Updated 2 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆13Updated 4 years ago
• DanielBok / copulae
  Multivariate data modelling with Copulas in Python
  ☆143Updated 4 months ago
• kdgutier / esrnn_torch
  ☆156Updated 3 years ago
• samluxenberg1 / Time-Series-Forecasting-with-Wavelets
  ☆44Updated 6 years ago
• ZacKeskin / PyCausality
  Calculate predictive causality between time series using information-theoretic techniques
  ☆89Updated 3 years ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆38Updated 4 years ago
• stakahashy / fingan
  The implementation of "modeling financial time-series with generative adversarial networks"
  ☆56Updated last year
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆15Updated 3 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆46Updated 4 years ago
• Jianeng / Deep-Learning-in-Asset-Pricing
  https://arxiv.org/abs/1805.01104
  ☆107Updated 3 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆35Updated 5 years ago
• Cy743652 / CEEMDAN-LSTM
  ☆40Updated 3 years ago
• joergrieger / pybvar
  Bayesian Vector Autoregression in Python
  ☆24Updated 5 years ago