Alternatives and similar repositories for fourier-bayesian-sv-estimation:

Users that are interested in fourier-bayesian-sv-estimation are comparing it to the libraries listed below

• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 4 months ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆32Updated 6 years ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆15Updated last year
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆23Updated 2 years ago
• microprediction / microactors-causality
  Examples of causality maps for time series driven by GitHub actions
  ☆15Updated last year
• mfrdixon / G-Learning-Wealth-Management
  ☆22Updated 3 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 6 months ago
• yangyang2000 / Dynamic-Factor-Model
  Python code for dynamic facctor model. (Preliminary and in progress)
  ☆22Updated 7 years ago
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆18Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated last month
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆13Updated 10 months ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• OVVO-Financial / NNS
  Nonlinear Nonparametric Statistics
  ☆72Updated this week
• Farmhouse121 / Adventures-in-Financial-Data-Science
  Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…
  ☆62Updated 7 months ago
• Bazman76 / ilmanen_expected_returns
  ☆15Updated 2 years ago
• rakshitha123 / WeeklyForecasting
  This repository contains the experiments related with a new baseline model that can be used in forecasting weekly time series. This model…
  ☆47Updated 3 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆29Updated 9 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆13Updated last year
• rafa-rod / vartests
  Statistical tests for Value at Risk (VaR) Models.
  ☆14Updated last year
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆59Updated 2 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• bayesiancointegration / python
  Python code for Bayesian Conditional Cointegration
  ☆17Updated 7 years ago
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆18Updated 9 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated 2 months ago
• financialnoob / misc
  ☆26Updated 7 months ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆23Updated 7 years ago
• mawicks / deep-volatility-models
  Volatility models for stock prices using deep learning and mixture models.
  ☆15Updated 2 years ago