☆14Feb 22, 2016Updated 10 years ago
Alternatives and similar repositories for RegimeSwitching_GARCH
Users that are interested in RegimeSwitching_GARCH are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Dec 4, 2022Updated 3 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 6 years ago
- Multivariate GARCH Models☆17Aug 31, 2025Updated 7 months ago
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 4 months ago
- Materials for R/Tidyverse tutorials☆13Jan 4, 2023Updated 3 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 3 years ago
- DCC BEKK Factor Copula MSV☆14Mar 3, 2018Updated 8 years ago
- weeks1-2☆25Dec 19, 2018Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Mar 18, 2025Updated last year
- complements the @github/TemoaProject by providing methods to help with the creation and analysis of the .sqlite databases used by temoa☆10Apr 15, 2021Updated 5 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Expected Shortfall Backtesting☆13Sep 3, 2023Updated 2 years ago
- Bundle Methods in Julia☆10Sep 4, 2024Updated last year
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated last month
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆16Dec 6, 2022Updated 3 years ago
- Kernel density estimation based on vine copulas☆16Sep 4, 2025Updated 7 months ago
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- Awesome scalping algo☆11Dec 8, 2022Updated 3 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]☆12Nov 3, 2023Updated 2 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Dynamic adjusted BL portfolio based on GARCH model☆10Aug 23, 2018Updated 7 years ago
- A package for shrinkage estimation of covariance matrices☆15Feb 8, 2024Updated 2 years ago
- Monitor and Trade Engine for Crypto Exchanges☆10Dec 27, 2019Updated 6 years ago
- Redland librdf language bindings☆36Dec 12, 2019Updated 6 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Dec 8, 2019Updated 6 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated last year
- ARMA-GARCH☆104Oct 15, 2023Updated 2 years ago
- Compilation of technical analysis tools (EMA, Bollinger bands), fundamental analysis, machine learning models (LSTM, Random forest, ARIMA…☆15Aug 9, 2021Updated 4 years ago
- Ancillary Services Acquisition Model (ASAM) - Agent-based model to simulate processes of ancillary services acquisition and electricity m…☆16Jul 30, 2023Updated 2 years ago
- Serverless GPU API endpoints on Runpod - Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Bayesian Multivariate GARCH☆18Oct 31, 2024Updated last year
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆17Oct 16, 2019Updated 6 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…☆17Jul 3, 2021Updated 4 years ago
- Reinforcement learning agent based electricity market simulator☆19Jul 2, 2011Updated 14 years ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 4 years ago
- Quantitative finance and derivative pricing☆27Apr 7, 2026Updated last week