tomasrubin / yield-curve-forecasting
This repository provides the implementation of a handful of forecasting methods in yield curve modelling.
☆21Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for yield-curve-forecasting
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆15Updated 4 years ago
- ☆15Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆25Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆41Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆18Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 6 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆47Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Repository for teachings on Quant Finance☆48Updated 5 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Elements of Financial Risk Management in Python☆11Updated 3 years ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆13Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago