spmvg / evtLinks
Estimators and analysis for extreme value theory (EVT)
☆20Updated 4 years ago
Alternatives and similar repositories for evt
Users that are interested in evt are comparing it to the libraries listed below
Sorting:
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 9 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 10 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆20Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 10 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- ☆19Updated 7 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 11 months ago
- Multivariate GARCH modelling in Python☆17Updated 9 months ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- ☆68Updated last month
- Code examples for pyFTS☆51Updated 5 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆43Updated 7 months ago
- Library for stochastic process simulation☆14Updated 2 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Python Copula Module☆43Updated 2 years ago
- ☆14Updated 3 years ago
- Non-parametric method for estimating regime change in bivariate time series setting.☆14Updated 8 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Calculate predictive causality between time series using information-theoretic techniques☆100Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆56Updated 3 years ago