Python library for multivariate dependence modeling with Copulas
☆117Jun 11, 2024Updated last year
Alternatives and similar repositories for pycop
Users that are interested in pycop are comparing it to the libraries listed below
Sorting:
- Multivariate data modelling with Copulas in Python☆160Feb 7, 2025Updated last year
- A library to model multivariate data using copulas.☆634Feb 23, 2026Updated last week
- Copula-GP model☆16Oct 23, 2023Updated 2 years ago
- A Python library for vine copula models☆120Nov 22, 2025Updated 3 months ago
- Python copulas library for dependency modeling☆102Oct 26, 2020Updated 5 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- A pure python implementation for vine copulas☆38Nov 26, 2024Updated last year
- SciFin is a python package for Science & Finance.☆11Oct 25, 2020Updated 5 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Sep 12, 2023Updated 2 years ago
- Non-Linear Covariance Shrinkage☆14Jan 1, 2022Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- A package to sort stocks into portfolios and calculate weighted-average returns.☆18Jul 24, 2022Updated 3 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆49Dec 21, 2023Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆64Sep 21, 2022Updated 3 years ago
- ☆34Dec 24, 2020Updated 5 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- Copula fitting in Python.☆13Dec 4, 2023Updated 2 years ago
- Estimate dynamic high-order correlations in multivariate timeseries data☆42Jul 9, 2025Updated 7 months ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆11Jul 19, 2019Updated 6 years ago
- Extreme Value Analysis (EVA) in Python☆270Feb 19, 2026Updated last week
- DCC GARCH modeling in Python☆102Jan 15, 2020Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21May 9, 2022Updated 3 years ago
- Statistical inference of vine copulas☆97Aug 7, 2025Updated 6 months ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Nov 14, 2020Updated 5 years ago
- 📦 Python library providing Two-Piece distributions functionality. It covers the subfamilies: TP Scale, TP Shape, and Double TP.☆12May 16, 2024Updated last year
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆14Feb 6, 2026Updated 3 weeks ago
- Portfolio optimisation library.☆10Oct 6, 2025Updated 4 months ago
- ☆28Oct 27, 2025Updated 4 months ago
- Resources for deep learning with satellite & aerial imagery☆10Jun 7, 2022Updated 3 years ago
- A fully `Distributions.jl`-compliant copula package☆109Jan 10, 2026Updated last month
- Loose collection of Jupyter notebooks, mostly for my blog☆28Nov 10, 2024Updated last year
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆124Oct 13, 2025Updated 4 months ago
- 量化FOF框架☆13Mar 8, 2019Updated 6 years ago
- Code for the paper: Comparing and Contrasting Deep Learning Weather Prediction Backbones on Navier-Stokes and Atmospheric Dynamics☆14Aug 9, 2024Updated last year
- World beating online covariance and portfolio construction.☆318Oct 13, 2025Updated 4 months ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago