spmvg / evt
Estimators and analysis for extreme value theory (EVT)
☆18Updated 3 years ago
Alternatives and similar repositories for evt
Users that are interested in evt are comparing it to the libraries listed below
Sorting:
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 7 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 6 months ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 3 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Markov decision processes under model uncertainty☆15Updated 2 years ago
- ☆19Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.☆15Updated 3 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆33Updated last year
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆42Updated 4 months ago
- ☆20Updated 3 months ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 8 months ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆20Updated last year
- ☆12Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Quant finance scripts☆16Updated last month
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆40Updated 4 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Multivariate GARCH modelling in Python☆16Updated 6 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
- Non-parametric method for estimating regime change in bivariate time series setting.☆13Updated 8 years ago