Pinned Repositories
aqrr
AQR Asset Management datasets in R
CMA
Copula Marginal Algorithm
DynamicStrategies
Convex vs Concave Portfolio Management
epo
Enhanced Portfolio Optimization (EPO)
FFP
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
FromQuandl
Download IMF and World Bank `tidy` data From Quandl
Large-TVP-VAR
Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
nefin
NEFIN datasets in R
uncorbets
Diversification Distribution via Minimum Torsion Bets
YahooTickers
Download and Model Stock Index Constituents From Yahoo Finance
Reckziegel's Repositories
Reckziegel/FFP
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
Reckziegel/epo
Enhanced Portfolio Optimization (EPO)
Reckziegel/uncorbets
Diversification Distribution via Minimum Torsion Bets
Reckziegel/YahooTickers
Download and Model Stock Index Constituents From Yahoo Finance
Reckziegel/aqrr
AQR Asset Management datasets in R
Reckziegel/DynamicStrategies
Convex vs Concave Portfolio Management
Reckziegel/PortfolioSorts_NSE
Code for "Non-Standard Errors in Portfolio Sorts".
Reckziegel/CMA
Copula Marginal Algorithm
Reckziegel/nefin
NEFIN datasets in R
Reckziegel/BR-Fama-French-Factors
Due to the absence of Fama-French factors for the Brazilian market, this repository aims to provide an open database for comprehensive analysis of assets and portfolios in the Brazilian financial market.
Reckziegel/capmr
An equilibrium approach to model asset prices
Reckziegel/ettj
Yield curve estimation via the two step method of decay parameters optimization.
Reckziegel/GEVSimulation
A shiny app to demonstrate the impact of the parameters `mu`, `sigma` and `xi` in the GEV distribution.
Reckziegel/idexr
JGP CDI Debenture Index.
Reckziegel/invariance
Simple invariance tests for statistical analysis
Reckziegel/michaud
Michaud Resampling Portfolios done in R
Reckziegel/mydownloads
Reckziegel/pray
Reckziegel/rba
Robust Bayesian Allocation
Reckziegel/ShadowRates
Model near-zero interest-rates
Reckziegel/SimGHYP
Shiny app on the GHYP distribution
Reckziegel/site
My Personal Website
Reckziegel/snoop
Reckziegel/tcc
Codes for Bachelor's thesis.
Reckziegel/tcopula
Estimation of Structured t-Copulas
Reckziegel/timetravel
Reckziegel/uncover
Reckziegel/understress
Reckziegel/valuer
Reckziegel/Yahoo-Quandl-Market-Data-Donwloader
Matlab functions for market data downloading