Alternatives and similar repositories for Dynamic-Factor-Model

Users that are interested in Dynamic-Factor-Model are comparing it to the libraries listed below

• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆50Updated 5 years ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆44Updated 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
  ☆25Updated 7 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆16Updated 4 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆31Updated 4 years ago
• QuantEcon / dynamic_factor_models
  ☆41Updated 6 years ago
• HoagieT / Factor-Augmented-Vector-Autoregression
  An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…
  ☆15Updated 5 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆78Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆32Updated 4 years ago
• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆27Updated 8 years ago
• hellojinwoo / CA_GMVP
  Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
  ☆22Updated 3 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆13Updated 8 years ago
• edoberton / heston_nandi_garch
  Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…
  ☆15Updated 4 years ago
• yye9701 / KR_example
  ☆22Updated 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 5 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆37Updated 6 years ago
• QuantLet / EmbeddingPortfolio
  A repository for portfolio allocation based on embedding data representation
  ☆12Updated 11 months ago
• LikunOuyang / MTH9855-Asset-Allocation
  Asset allocation and Portfolio Management Course @ Baruch MFE
  ☆15Updated 5 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆36Updated 9 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆25Updated 5 years ago
• jgatheral / RationalRoughHeston
  ☆13Updated last year
• coolgan / Quantitative-Finance
  Q-quant和因子投资实证汇总
  ☆23Updated 4 years ago