Alternatives and similar repositories for copula:

Users that are interested in copula are comparing it to the libraries listed below

• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 4 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆20Updated 4 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 5 months ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 4 years ago
• jhihan / Value_at_Risk_Python
  The Value at Risk (VaR) calculation, Python version
  ☆11Updated 5 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆18Updated 4 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆21Updated 6 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 7 months ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆11Updated 6 years ago
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 6 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 6 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆18Updated 2 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆38Updated 4 years ago
• yye9701 / KR_example
  ☆22Updated 3 years ago
• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆25Updated 7 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated 6 months ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated last week
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆14Updated 4 years ago
• ChuangWan / MVMQ-CAViaR
  The asymptotic normal distribution properties
  ☆15Updated 7 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 5 years ago