Pinned Repositories
AdpQMLE
Adaptive Quasi Maximum Likelihood Estimation of GARCH models
BigVAR
Dimension Reduction Methods for Multivariate Time Series
bnt
Bayes Net Toolbox for Matlab
DBA
DBA: Averaging for Dynamic Time Warping
DSGE_mod
A collection of Dynare models
DynamicBLportfolio
Dynamic adjusted BL portfolio based on GARCH model
dynare
This project has moved to https://git.dynare.org/Dynare/dynare
EGARCH
E-GARCH estimation of volatilities for Value-Weighted stock market portfolios
fGarch
:exclamation: This is a read-only mirror of the CRAN R package repository. fGarch — Rmetrics - Autoregressive Conditional Heteroskedastic Modelling. Homepage: https://www.rmetrics.org
Financial_time_series
Financial time series forecasting - GARCH, EGARCH, ARMA, developed using R
abc1206's Repositories
abc1206/AdpQMLE
Adaptive Quasi Maximum Likelihood Estimation of GARCH models
abc1206/BigVAR
Dimension Reduction Methods for Multivariate Time Series
abc1206/bnt
Bayes Net Toolbox for Matlab
abc1206/DBA
DBA: Averaging for Dynamic Time Warping
abc1206/DSGE_mod
A collection of Dynare models
abc1206/DynamicBLportfolio
Dynamic adjusted BL portfolio based on GARCH model
abc1206/dynare
This project has moved to https://git.dynare.org/Dynare/dynare
abc1206/EGARCH
E-GARCH estimation of volatilities for Value-Weighted stock market portfolios
abc1206/fGarch
:exclamation: This is a read-only mirror of the CRAN R package repository. fGarch — Rmetrics - Autoregressive Conditional Heteroskedastic Modelling. Homepage: https://www.rmetrics.org
abc1206/Financial_time_series
Financial time series forecasting - GARCH, EGARCH, ARMA, developed using R
abc1206/garch_misspecification
MATLAB functions to replicate results in Chuffart, Flachaire and Péguin-Feissolle (2017): Testing for misspecification in short-term component of GARCH-type models
abc1206/garch_VaR
Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
abc1206/HLAG
Replication files for High Dimensional Forecasting via Interpretable Vector Autoregression
abc1206/mfe-toolbox
abc1206/mfGARCH
An R package for using mixed-frequency GARCH models
abc1206/Miscellaneous
Utility routines for financial data analysis
abc1206/mma_ba_backup
百度贴吧mathematica吧精品贴备份
abc1206/nloptr
:exclamation: This is a read-only mirror of the CRAN R package repository. nloptr — R Interface to NLopt
abc1206/Portfolio-Management-via-GARCH
abc1206/R-programming-with-applications-to-financial-quantitive-analysis
The code for the book 《R programming with applications to financial quantitive analysis》
abc1206/rmini
A minimal R package with examples of most common components
abc1206/rugarch
:exclamation: This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, https://bitbucket.org/alexiosg
abc1206/Semiparametric_Adaptive_Estimation_of_the_GARCH_Model_Using_Matlab
Semiparametric adaptive estimation of the GARCH model using Matlab
abc1206/SFrontiers.jl
A Package for Estimating Stochastic Frontier Models using Julia
abc1206/The-application-of-Multivariate-GARCH-in-Markowitz-Mean-Variance-Model
abc1206/Volatility-Analysis-of-SP500
This project is a volatility analysis of the S&P 500 and its various financial sectors. The analysis was done using the R programming language and RStudio. Key steps include data extraction, linear stochastic modeling, residual analyses, and ARIMA/GARCH Modeling. A detailed report of the analysis is also included. Refer to README for specific instructions for RStudio