xxl4tomxu98 / vector-autoregressive-model-wage-inflations
An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.
☆14Updated 3 years ago
Alternatives and similar repositories for vector-autoregressive-model-wage-inflations:
Users that are interested in vector-autoregressive-model-wage-inflations are comparing it to the libraries listed below
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated 2 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆24Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated last month
- ☆16Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆15Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆12Updated 3 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆27Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- A stock price prediction model based on ARMA and GARCH☆21Updated 7 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Code for Machine Learning for Algorithmic Trading, 2nd edition.☆18Updated 2 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆28Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- quantitative asset allocation strategy☆21Updated last week
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Portfolio optimization with cvxopt☆37Updated last week