zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
☆28Updated 4 years ago
Alternatives and similar repositories for Evaluation-of-Machine-Learning-in-Asset-Pricing:
Users that are interested in Evaluation-of-Machine-Learning-in-Asset-Pricing are comparing it to the libraries listed below
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 4 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- ☆23Updated 7 years ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆18Updated last year
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- 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
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆30Updated 11 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- ☆69Updated 2 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Updated 4 years ago
- ☆24Updated last month
- ☆22Updated 2 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- ☆39Updated 6 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago