Alternatives and similar repositories for covShrinkage

Users that are interested in covShrinkage are comparing it to the libraries listed below

• oledoit / covShrinkage
  A Package for Shrinkage Estimation of Covariance Matrices
  ☆16Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• cvxgrp / cov_pred_finance
  ☆67Updated last week
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 7 months ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆62Updated last year
• cvxgrp / cvxmarkowitz
  ☆27Updated last month
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆44Updated 2 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated 2 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆55Updated 2 years ago
• cvxgrp / markowitz-reference
  This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…
  ☆29Updated this week
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆75Updated 5 months ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆90Updated 9 months ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated last year
• AlessandroGnoatto / DeepBsdeSolverWithJumps
  Implementation of "A deep solver for BSDEs with jumps"
  ☆14Updated 7 months ago
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆15Updated 3 months ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆15Updated 2 years ago
• tschm / pyhrp
  Run hierarchical risk parity algorithms
  ☆46Updated last week
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated last year
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆82Updated 3 months ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 3 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago