n4tg / MSGARCH_comp
Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
☆25Updated 7 years ago
Alternatives and similar repositories for MSGARCH_comp:
Users that are interested in MSGARCH_comp are comparing it to the libraries listed below
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆14Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Replication of key GARCH model papers☆33Updated 8 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 5 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- ☆28Updated 3 years ago
- Some code related to the VaR matheology.☆9Updated 6 years ago
- Multivariate GARCH modelling in Python☆16Updated 3 months ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆17Updated 5 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆21Updated 7 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- HAR-RV Model For Realized Volatility☆28Updated 9 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆48Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago