Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
☆16Oct 16, 2019Updated 6 years ago
Alternatives and similar repositories for dynamic_conditional_beta
Users that are interested in dynamic_conditional_beta are comparing it to the libraries listed below
Sorting:
- DCC GARCH modeling in Python☆102Jan 15, 2020Updated 6 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…☆12Apr 11, 2023Updated 2 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 2 years ago
- ☆11Mar 31, 2015Updated 10 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 9 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆15Mar 21, 2021Updated 4 years ago
- Trade and Portfolio Accounting in Julia☆15May 23, 2016Updated 9 years ago
- Multivariate GARCH Models☆17Aug 31, 2025Updated 6 months ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 4 years ago
- ☆22Jul 23, 2015Updated 10 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Oct 29, 2019Updated 6 years ago
- 资产配置，BL模型和风险平价模型☆18Jan 16, 2018Updated 8 years ago
- 2019 딥러닝-비전처리 홀로서기 특강에 사용된 Lecture Note 및 Code Repository입니다.☆12Sep 7, 2019Updated 6 years ago
- 공학수학 강의노트☆19Feb 27, 2024Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆31Mar 4, 2022Updated 3 years ago
- Discover how to leverage MATLAB for quantitative finance modeling☆38Sep 4, 2025Updated 5 months ago
- Risk_Parity strategy 风险平价☆32May 1, 2020Updated 5 years ago
- A framework for estimating Basel IV capital requirements.☆25Jul 23, 2019Updated 6 years ago
- Code base for the practitioner's guide to the ONC algorithm paper published with the Journal of Financial Data Science☆20Jun 8, 2023Updated 2 years ago
- AI enhanced automation tool for financial modelling and market analysis.☆12Sep 10, 2019Updated 6 years ago
- ☆13Updated this week
- ☆10Apr 6, 2023Updated 2 years ago
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- 🕹 Pikachu-volleyball game-based multi-agent RL environment using PettingZoo☆11Sep 29, 2024Updated last year
- A Python function for bootstrapping☆10Nov 5, 2019Updated 6 years ago
- Generalized Sentiment Classifier finetuned by KoELECTRA☆11Nov 28, 2024Updated last year
- 大类资产配置☆11Jun 3, 2021Updated 4 years ago
- A toolbox for simulating and estimating long-term causal effects in the presence of unobserved confounding.☆14Feb 20, 2023Updated 3 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- ☆12Jan 19, 2019Updated 7 years ago
- TVP VAR Workshop☆15Feb 26, 2020Updated 6 years ago
- kdb Visual Studio Code extension☆22Feb 20, 2026Updated last week
- List of portfolio management resources, using Reinforcement Learning.☆40Oct 20, 2023Updated 2 years ago
- Machine learning for sequential/streaming data☆35Jul 8, 2016Updated 9 years ago
- 🎲 Woodoku-based reinforcement learning environment using Gymnasium☆10Sep 28, 2024Updated last year
- НИС "Методологии разработки ПО", ФКН ВШЭ, Старичков Н.Ю., Крахмалёв Д.С.☆13Mar 12, 2022Updated 3 years ago
- BERT Sentiment Classification on the IMDb Large Movie Review Dataset.☆16Sep 8, 2022Updated 3 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 5 years ago