R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.
☆13Sep 8, 2018Updated 7 years ago
Alternatives and similar repositories for Neural-Network-based-HAR-models
Users that are interested in Neural-Network-based-HAR-models are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆18Jul 19, 2021Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Sep 18, 2020Updated 5 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Jul 16, 2023Updated 2 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, …☆28Oct 20, 2021Updated 4 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Jan 8, 2023Updated 3 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆22Jun 22, 2020Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 7 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Jan 2, 2023Updated 3 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆15Nov 10, 2019Updated 6 years ago
- An R package for fitting parametric spatial and spatio-temporal models with INLA☆17May 20, 2017Updated 8 years ago
- ☆13Aug 31, 2025Updated 6 months ago
- This is a read-only mirror of the CRAN R package repository. splm — Econometric Models for Spatial Panel Data☆10Dec 21, 2023Updated 2 years ago
- This is the GitHub Repository for the paper "Charting New Avenues in Financial Forecasting with TimesNet: The Impact of Intraperiod and I…☆17Mar 18, 2024Updated 2 years ago
- R Package for Bootstrap Unit Root Tests☆10May 5, 2025Updated 10 months ago
- Repository hosing the carbon policy shocks identified in Känzig (2023)☆14Mar 7, 2026Updated 2 weeks ago
- Code for Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks☆14Oct 30, 2024Updated last year
- Driver for LIWC2015 analysis. LIWC2015 dictionary not included.☆16Nov 24, 2022Updated 3 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Oct 30, 2023Updated 2 years ago
- ☆15Jun 17, 2021Updated 4 years ago
- A model for forecasting stock volatility☆21Apr 14, 2017Updated 8 years ago
- Volatility Decomposition of Asset Price Time Series☆11May 5, 2019Updated 6 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Repository containing vintages of oil supply news shock data☆12Mar 7, 2026Updated 2 weeks ago
- The million digit Fibonacci number challenge. Calculate fibo(4784969) in various languages.☆12Oct 5, 2025Updated 5 months ago
- ☆13Apr 16, 2021Updated 4 years ago
- Blog Posts Repo☆12Jun 3, 2019Updated 6 years ago
- Adaptation of Monte Carlo and SARSA algorithms (Reinforcement Learning) for learning the policy of sellers/ buyers in stock market☆12Jul 23, 2018Updated 7 years ago
- Comprehensive tutorial notes for ETC2410 Introductory Econometrics☆13Sep 4, 2019Updated 6 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Nov 2, 2022Updated 3 years ago
- R package providing utilities for INLA☆31Nov 23, 2022Updated 3 years ago
- ☆15Jun 7, 2023Updated 2 years ago
- C++ implementation of rBergomi model☆26Jul 4, 2018Updated 7 years ago
- Supervised and unsupervised self-organising maps☆12Mar 11, 2026Updated last week
- A method to search for a subset of best performing items wrt black-box reward function☆15Jun 7, 2019Updated 6 years ago
- ☆11Jan 26, 2025Updated last year
- An Ethereum DApp that allows you to upload your marriage information to the Ethereum blockchain.☆26Mar 17, 2016Updated 10 years ago