open-source-modelling / Nelson_Siegel_Svansson_python
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
☆16Updated 10 months ago
Alternatives and similar repositories for Nelson_Siegel_Svansson_python:
Users that are interested in Nelson_Siegel_Svansson_python are comparing it to the libraries listed below
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- ☆39Updated 6 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- ☆20Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆40Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- One factor Vasicek model in Python.☆10Updated last year
- qmoms package to compute option-implied moments from surface data☆16Updated 9 months ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆34Updated 5 years ago
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆28Updated last year
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆20Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 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…☆17Updated 2 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆28Updated 2 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 code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …