veniarakelian / copula
[Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis
☆14Updated 5 years ago
Alternatives and similar repositories for copula
Users that are interested in copula are comparing it to the libraries listed below
Sorting:
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Vine_Copula_based_ARMA_EGARCH☆11Updated 6 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 8 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- ☆39Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Multivariate GARCH modelling in Python☆16Updated 6 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- R Code CoVaR with Copula☆76Updated 7 months ago
- ☆19Updated 6 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆12Updated 2 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- ☆22Updated 3 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆19Updated 2 years ago