yatshunlee / CAViaR
Measure market risk by CAViaR model
☆13Updated 4 months ago
Alternatives and similar repositories for CAViaR:
Users that are interested in CAViaR are comparing it to the libraries listed below
- BSc Thesis on the Garch-Midas model☆26Updated 3 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆17Updated 3 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 4 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆11Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- R code for CAViaR model☆29Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- ☆7Updated 4 years ago
- Vine_Copula_based_ARMA_EGARCH☆11Updated 6 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- ☆71Updated 2 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆32Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- empirical asset pricing☆45Updated last year
- Machine learning methods for identifing investment factors☆19Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆46Updated 6 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- Equity return and characteristics of China A-Share market☆17Updated last year
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆40Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆128Updated 3 years ago