yonghanjung / RegimeSwitching_GARCHLinks
☆14Updated 9 years ago
Alternatives and similar repositories for RegimeSwitching_GARCH
Users that are interested in RegimeSwitching_GARCH are comparing it to the libraries listed below
Sorting:
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- ☆108Updated 3 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 …☆26Updated 2 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- Dynamic adjusted BL portfolio based on GARCH model☆10Updated 7 years ago
- ☆23Updated 8 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- ☆73Updated 2 years ago
- A framework for financial systemic risk valuation and analysis.☆174Updated 2 years ago
- Python Nowcasting☆127Updated 4 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Calculate U.S. equity (portfolio) characteristics☆95Updated last year
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 6 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆52Updated 4 years ago
- ☆40Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆17Updated 6 months ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆40Updated 5 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago