rbeeli / dynamic_conditional_betaLinks
Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
☆16Updated 5 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:
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- ☆23Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆42Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- ☆17Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 9 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 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
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Fama-French models, idiosyncratic volatility, event study☆32Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆38Updated 6 years ago
- Predictive yield curve modeling in reduced dimensionality☆41Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago