Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
☆17Oct 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- DCC GARCH modeling in Python☆108Jan 15, 2020Updated 6 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 3 years ago
- Multivariate GARCH Models☆18Aug 31, 2025Updated 10 months ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆22Oct 29, 2019Updated 6 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- ☆11Mar 31, 2015Updated 11 years ago
- Powershell Module to use various VPN providers (Cisco AnyConnect)☆14Jan 27, 2024Updated 2 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☆16Mar 21, 2021Updated 5 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- ☆22Jul 23, 2015Updated 10 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- Download statistical data from various institutions with a Python module☆14Jul 5, 2017Updated 9 years ago
- Generalized Method of Moments estimation☆15Mar 23, 2025Updated last year
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 5 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- ☆11Mar 19, 2018Updated 8 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 2 years ago
- Describe and model financial markets objects using Julia☆21Feb 2, 2019Updated 7 years ago
- 资产配置，BL模型和风险平价模型☆18Jan 16, 2018Updated 8 years ago
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆16Dec 3, 2020Updated 5 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆47Mar 23, 2022Updated 4 years ago
- ☆14Apr 1, 2019Updated 7 years ago
- ☆18Nov 27, 2020Updated 5 years ago
- XIRR (using Python) to calculate return on investments done at different time periods which need not be periodic.☆15Oct 3, 2020Updated 5 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Oct 15, 2020Updated 5 years ago
- Discover how to leverage MATLAB for quantitative finance modeling☆42Sep 4, 2025Updated 10 months ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆13Apr 12, 2023Updated 3 years ago
- A lean package to estimate financial asset betas☆14Feb 12, 2023Updated 3 years ago
- AI enhanced automation tool for financial modelling and market analysis.☆12Sep 10, 2019Updated 6 years ago
- Compilation of technical analysis tools (EMA, Bollinger bands), fundamental analysis, machine learning models (LSTM, Random forest, ARIMA…☆15Aug 9, 2021Updated 4 years ago
- Implement different variants of gradient descent in python using numpy☆11Apr 23, 2019Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: https://github.com/alexiosg…☆15Aug 31, 2025Updated 10 months ago
- Bayesian Multivariate GARCH☆18Jul 7, 2026Updated 2 weeks ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆32Mar 4, 2022Updated 4 years ago
- A framework for estimating Basel IV capital requirements.☆25Jul 23, 2019Updated 6 years ago
- Generalized Autoregressive Score Models in R☆18Aug 17, 2025Updated 11 months ago
- Empirical Finance Course (PhD, Julia code)☆39Nov 24, 2024Updated last year
- ☆15Feb 22, 2016Updated 10 years ago
- Multi-factor Risk Models of Asset or Portfolio Returns☆10May 4, 2021Updated 5 years ago
- НИС "Методологии разработки ПО", ФКН ВШЭ, Старичков Н.Ю., Крахмалёв Д.С.☆13Mar 12, 2022Updated 4 years ago