A package for Shrinkage Estimation of Covariance Matrices
☆37May 26, 2024Updated 2 years ago
Alternatives and similar repositories for covShrinkage
Users that are interested in covShrinkage are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- A package for shrinkage estimation of covariance matrices☆16Feb 8, 2024Updated 2 years ago
- Code Repository for Time Varying Multivariate Autoregressive (TV-MVAR) modeling☆13Mar 12, 2026Updated 3 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 3 years ago
- Cluster-based portfolio allocation: HRP, Schur risk parity, and 1/N☆55Updated this week
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Python library for shrinkage cleaning of large correlation matrices.☆14Mar 7, 2024Updated 2 years ago
- A repository for portfolio allocation based on embedding data representation☆12Jan 27, 2025Updated last year
- Finance 6470: Derivatives Markets☆10Apr 15, 2021Updated 5 years ago
- Sky mapping with matplotlib and PROJ☆23May 7, 2026Updated last month
- Code for the paper "How to use the Sharpe ratio"☆98Feb 5, 2026Updated 4 months ago
- ☆11Mar 16, 2022Updated 4 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years ago
- 🦀 A Rust implementation of a RoBERTa classification model for the SNLI dataset☆13Sep 13, 2021Updated 4 years ago
- Baruch MFE program quant lab☆17Feb 19, 2017Updated 9 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Non-Linear Covariance Shrinkage☆16Jan 1, 2022Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- ☆11Mar 31, 2015Updated 11 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17May 29, 2022Updated 4 years ago
- A Limited-Memory Quasi-Newton Algorithm for Bound-Constrained Nonsmooth Optimization☆13Dec 23, 2016Updated 9 years ago
- Measuring the Market Risk Premium☆18Mar 30, 2026Updated 2 months ago
- ☆14Jun 11, 2018Updated 8 years ago
- Top level "umbrella" package for RAIL☆18Jun 5, 2026Updated last week
- Generalized empirical likelihood and generalized method of moments estimators for Python☆11Feb 12, 2018Updated 8 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Functions and algorithms for On-line Portfolio Selection with R☆22Aug 10, 2017Updated 8 years ago
- ☆24Feb 17, 2024Updated 2 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- ☆19Mar 19, 2026Updated 2 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆24May 8, 2024Updated 2 years ago
- Instrumented Principal Components Analysis☆264Aug 15, 2022Updated 3 years ago
- Code to run the ASEBO algorithm from the paper: From Complexity to Simplicity: Adaptive ES-Active Subspaces for Blackbox Optimization... …☆16Oct 14, 2020Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆28Nov 29, 2022Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- PECANNs: Physics and Equality Constrained Artificial Neural Networks☆26Mar 30, 2026Updated 2 months ago
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- Financial Analysis and Algorithmic Trading Strategies in Python☆11Feb 16, 2023Updated 3 years ago
- ☆21May 27, 2026Updated 3 weeks ago
- DESC Cosmology Likelihood Framework☆31Jun 12, 2026Updated last week
- ☆36Apr 8, 2026Updated 2 months ago
- Demo to show how to reuse a document using different metadata.☆12Mar 15, 2025Updated last year