xuruilong100 / EFRMinPython
Elements of Financial Risk Management in Python
☆11Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for EFRMinPython
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 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
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- ☆23Updated 7 years ago
- ☆28Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- Regularized estimation of high-dimensional FAVAR models☆8Updated 9 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆15Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 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
- The asymptotic normal distribution properties☆15Updated 6 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
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- NYU Tandon lecture slides☆31Updated 2 weeks ago
- CoVaR estimation via quantile regression☆22Updated 6 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆12Updated 5 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆22Updated last year
- ☆64Updated last year
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- ☆23Updated 11 months ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Q-quant和因子投资实证汇总☆19Updated 3 years ago