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.
  ☆28Updated 4 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆17Updated 3 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆24Updated 7 years ago
• jhihan / Value_at_Risk_Python
  The Value at Risk (VaR) calculation, Python version
  ☆11Updated 5 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆21Updated 4 months ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆20Updated 6 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆18Updated 4 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆14Updated 3 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆12Updated 5 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆21Updated 2 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆13Updated 4 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆18Updated 4 years ago
• SUSANKI / ARMA-GARCH-COPULA-VAR-
  Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method
  ☆13Updated 3 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆37Updated 4 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆75Updated 4 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 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
• amwatt / thermal_optimal_path
  Dynamic lead/lag inference for time series
  ☆15Updated 5 years ago
• yye9701 / KR_example
  ☆20Updated 2 years ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆38Updated 4 years ago
• oa36 / Systemic-Risk
  Systemic Risk - CoVaR
  ☆12Updated 4 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• JasonZhang2333 / GarchMidas
  R package for GARCH-MIDAS
  ☆31Updated 5 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 2 months ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 4 years ago