qs66 / An-Alternative-Approach-to-Forecast-the-Volatility-of-Multiscale-and-High-Dimensional-Market-Data
Traditional methods for volatility forecast of multiscale and high-dimensional data like foreign-exchange and stock market volatility have both advantages and disadvantages which have been identified. In my project, I apply the Support Vector Machine (SVM) as a complimentary volatility method which is capable dealing of such type of data. SVM-b…
☆11Updated 7 years ago
Alternatives and similar repositories for An-Alternative-Approach-to-Forecast-the-Volatility-of-Multiscale-and-High-Dimensional-Market-Data:
Users that are interested in An-Alternative-Approach-to-Forecast-the-Volatility-of-Multiscale-and-High-Dimensional-Market-Data are comparing it to the libraries listed below
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 5 months ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated 11 months 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
- 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
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 7 months ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- ☆25Updated this week
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 4 years ago
- Hawkes with Latency☆20Updated 4 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Some code related to the VaR matheology.☆9Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- ☆20Updated 2 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Compile risk with cvxpy☆13Updated last week
- ☆63Updated this week
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- DCC GARCH modeling in Python☆92Updated 5 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆13Updated 5 months ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 11 months ago
- ☆17Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago