A quantile dependent method to calculate the correlation between two series.
☆20Oct 5, 2020Updated 5 years ago
Alternatives and similar repositories for Cross-Quantilogram
Users that are interested in Cross-Quantilogram are comparing it to the libraries listed below
Sorting:
- Testing and Estimation of structural breaks in Stata☆24Dec 4, 2025Updated 2 months ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆14Jul 18, 2022Updated 3 years ago
- CRAN Task View: Empirical Finance☆15Jan 13, 2026Updated last month
- ☆11Jan 26, 2025Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆13May 12, 2020Updated 5 years ago
- SVI volatility surface model and an example of China 50ETF option☆83May 13, 2020Updated 5 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 6 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆29Jan 27, 2026Updated last month
- Spectral decomposition of spillover measures☆110Feb 24, 2023Updated 3 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 5 years ago
- R Code CoVaR with Copula☆77Sep 26, 2024Updated last year
- Python Package: Fitting and Forecasting the yield curve☆39Feb 25, 2021Updated 5 years ago
- ☆12Dec 26, 2023Updated 2 years ago
- snowball option pricing, Monte Carlo, PDE, Greeks☆10Apr 28, 2023Updated 2 years ago
- Python implementation of Association Rule Mining☆11Apr 26, 2024Updated last year
- This is the time series forecasting models modified by xinze.zh.☆12Mar 10, 2023Updated 2 years ago
- ☆12Mar 26, 2020Updated 5 years ago
- Stata client for DB.nomics, the world's economic database☆10Jun 30, 2020Updated 5 years ago
- Portfolio optimization and index tracking for the FTSE index using genetic algorithm☆12Jan 13, 2018Updated 8 years ago
- TradeGPT is a full-stack cryptocurrency trading application that combines a modern Fresh (Deno) frontend with a Python (FastAPI) backend …☆15Mar 1, 2025Updated last year
- 从沪深300指数的日行情数据构建特征，用SVM预测指数的涨跌方向☆14Oct 16, 2018Updated 7 years ago
- Use ARIMA, RNN and LSTM to predict foreign exchange rates.☆10Nov 15, 2019Updated 6 years ago
- Matlab Implementation of "The Hierarchical Hidden Markov Model: Analysis and Applications"☆22Aug 31, 2011Updated 14 years ago
- Portfolio Optimisation is a fundamental problem in Financial Mathematics.The objective of this project is to explore the applicability of…☆13Nov 10, 2020Updated 5 years ago
- ☆12Jul 19, 2020Updated 5 years ago
- Strategy backtester for Uniswap V3.☆10Dec 1, 2021Updated 4 years ago
- Applying the Trading Deep Q-Network algorithm (TDQN) on shares in the hydrogen sector.☆11Nov 11, 2020Updated 5 years ago
- ☆11Nov 6, 2024Updated last year
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Bearsql allows you to query pandas dataframe with sql syntax. It uses duckdb as the internal processing engine☆15Sep 20, 2023Updated 2 years ago
- Super-Paramagnetic Clustering, Maximum entropy, Maximum Likelihood Methods.☆11Oct 18, 2021Updated 4 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 2020Updated 5 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Jun 8, 2020Updated 5 years ago
- MFM workshop project☆14Jan 25, 2021Updated 5 years ago
- A Chrome Extension downloader for Baidu search index.☆11Oct 5, 2022Updated 3 years ago