yuyingfeng / QuantFinLinks
☆23Updated 2 years ago
Alternatives and similar repositories for QuantFin
Users that are interested in QuantFin are comparing it to the libraries listed below
Sorting:
- 大类资产配置☆10Updated 4 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- Factor model referred by the Barra Model (USE4/CNE5) and decomposition of China mutual/private funds.☆11Updated 7 years ago
- Codes for Mostly Harmless Quantitative Finance☆37Updated 2 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- 资产配置,BL模型和风险平价模型☆17Updated 7 years ago
- The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Pa…☆24Updated 7 months ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- Dynamic factor models in Matlab☆12Updated 4 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆22Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Updated 9 years ago
- Feng Li's Python Course for Statisticians and Economists☆14Updated last year
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆23Updated 7 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- My Personal Site☆12Updated 2 years ago
- Semi-automated investing strategy (risk parity)☆27Updated 8 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆52Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 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
- ☆23Updated 8 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago