rbeeli / dynamic_conditional_beta
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
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- ☆22Updated 2 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 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
- Multivariate GARCH modelling in Python☆16Updated 4 months ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆31Updated 11 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- ☆21Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Affine Term-Structure Models: Theory and Implementation☆12Updated 4 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 5 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆26Updated last year
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆40Updated 3 years ago
- ☆13Updated 5 years ago