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:
- Codes for Mostly Harmless Quantitative Finance☆37Updated 3 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- The asymptotic normal distribution properties☆15Updated 7 years ago
- 大类资产配置☆11Updated 4 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Dynamic factor models in Matlab☆12Updated 4 years ago
- Factor model referred by the Barra Model (USE4/CNE5) and decomposition of China mutual/private funds.☆12Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 13 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Updated 9 years ago
- Shenzhen Winter Camp 2018☆28Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆52Updated 7 years ago
- R Code CoVaR with Copula☆77Updated last year
- PhD 403: Empirical Asset Pricing☆28Updated 7 years ago
- The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Pa…☆24Updated 10 months ago
- A framework for estimating Basel IV capital requirements.☆24Updated 6 years ago
- ☆24Updated 8 years ago
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆53Updated 5 years ago
- This is a program for strategic asset allocation research for negative investment FOF.☆14Updated 5 years ago
- 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
- A Matlab Package to implement Bayesian Inference, forecast and simulation for stochastic volatility models including LSTM-SV, SV, etc.☆18Updated 2 years ago
- An R package for using mixed-frequency GARCH models☆72Updated 2 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆24Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆75Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago