Pinned Repositories
networks-course
Material for the course Economic and Financial Network Analysis at the University of Amsterdam
CCS
The Cross-Section of Crypto-Currencies as Financial Asset
CRIX
Quantlets for the CRIX project
gofCopula
This repository contains the R package gofCopula. Several Goodness-of-Fit (GoF) tests for Copulae are provided including a hybrid test. Estimation methods for the margins are provided and all the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau. For reproducibility of results, the functions support the definition of seeds. Also all the tests support automatized parallelization of the bootstrapping tasks. The package provides an interface to perform new GoF tests by submitting the test statistic.
IC
Quantlets for the Information Criteria talk in Metis
LIBRO
Quantlets for the project "Investing with cryptocurrencies - A LIquidity Bounded Risk-return Optimization approach"
LISAR
NetVAR
A R package to fit VAR type models developed for data exhibiting network structures
SFE
Quantnet: SFE quantlets
SGNAR
This repository contains the code which implements the algorithm for the SGNAR model introduced in the paper "Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling" as well as the Bitcoin blockchain data used in the analysis.
SimonTrimborn's Repositories
SimonTrimborn/CCS
The Cross-Section of Crypto-Currencies as Financial Asset
SimonTrimborn/CRIX
Quantlets for the CRIX project
SimonTrimborn/LIBRO
Quantlets for the project "Investing with cryptocurrencies - A LIquidity Bounded Risk-return Optimization approach"
SimonTrimborn/NetVAR
A R package to fit VAR type models developed for data exhibiting network structures
SimonTrimborn/SGNAR
This repository contains the code which implements the algorithm for the SGNAR model introduced in the paper "Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling" as well as the Bitcoin blockchain data used in the analysis.
SimonTrimborn/gofCopula
This repository contains the R package gofCopula. Several Goodness-of-Fit (GoF) tests for Copulae are provided including a hybrid test. Estimation methods for the margins are provided and all the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau. For reproducibility of results, the functions support the definition of seeds. Also all the tests support automatized parallelization of the bootstrapping tasks. The package provides an interface to perform new GoF tests by submitting the test statistic.
SimonTrimborn/IC
Quantlets for the Information Criteria talk in Metis
SimonTrimborn/LISAR
SimonTrimborn/SFE
Quantnet: SFE quantlets