Alternatives and similar repositories for CAViaR

Users that are interested in CAViaR are comparing it to the libraries listed below

• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆18Updated 3 years ago
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆27Updated 3 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆96Updated 5 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆73Updated 2 years ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆136Updated 4 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆96Updated last year
• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆66Updated 3 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 10 months ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated 2 years ago
• yli188 / vine_copula
  Vine_Copula_based_ARMA_EGARCH
  ☆10Updated 6 years ago
• QuantLet / MLvsGARCH
  ☆20Updated 7 months ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 years ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆46Updated 5 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆47Updated last year
• Buczman / CaviaR
  R code for CAViaR model
  ☆29Updated 3 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆128Updated 4 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆41Updated 4 years ago
• bkelly-lab / ipca
  Instrumented Principal Components Analysis
  ☆234Updated 3 years ago
• milenavuletic / Fin-GAN
  Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"
  ☆127Updated last year
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆102Updated 2 years ago
• ARahimiQuant / forecasting-economic-and-market-regimes
  Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
  ☆14Updated 2 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
  ☆41Updated 6 years ago
• kaaaylaaa / causality-based-trading
  ☆21Updated 9 months ago
• whyecofiliter / EAP
  empirical asset pricing
  ☆47Updated last year
• viniesposito / py-mlfactor
  Rewriting the code in "Machine Learning for Factor Investing" in Python
  ☆90Updated 4 years ago
• tlemenestrel / LSTM_GARCH
  A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting
  ☆44Updated 2 years ago
• RichardS0268 / Autoencoder-Asset-Pricing-Models
  Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
  ☆98Updated last month
• Bturan19 / Neural-Garch-Hybrid-Model-Implementation
  By combining GARCH(1,1) and LSTM model implementing predictions.
  ☆57Updated 6 years ago