pig618 / amf_gibs
The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.
☆10Updated 3 years ago
Alternatives and similar repositories for amf_gibs
Users that are interested in amf_gibs are comparing it to the libraries listed below
Sorting:
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 2 years ago
- ☆22Updated 3 years ago
- ☆28Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆34Updated 6 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 3 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- Enhanced Portfolio Optimization (EPO)☆12Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- ☆9Updated 5 years ago
- ☆9Updated 5 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated last year
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Alpha model skeletons & examples☆12Updated last year
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16Updated 11 months ago
- A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.☆18Updated 2 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- ☆15Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated 2 years ago