Pinned Repositories
analytic_shrinkage
Non-Linear Covariance Shrinkage
Blog_Public_GMV
Backtesting a Global Minimum Variance Portfolio in R
BVAR-bayesianvar-Julia
Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models
covShrinkage
A Package for Shrinkage Estimation of Covariance Matrices
DCC-APARCH-model
Dynamic conditional correlation for portfolio management
Estimation-and-Inference-of-Extremal-Quantile-Treatment-Effects-for-Heavy-Tailed-Distributions
A repository to reproduce the numerical results in the Extremeal QTE paper
EstimationOfCovarianceMatrix
Estimation of the Covariance Matrix - linear and nonlinear shrinkage
HAR-RV-model
Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).
Innovation-on-brazilian-economic-research
Scientific research project. The idea was to analyse the patterns of innovation in economics research. It was based on Topic Modellind and Information Theory concepts to make quantitative measures of innovation, transience and resonance of a given paper.
Master-Thesis
Forecasts of Risk Measurements using the Multivariate Realized GARCH Model
jingyeGao's Repositories
jingyeGao/analytic_shrinkage
Non-Linear Covariance Shrinkage
jingyeGao/Blog_Public_GMV
Backtesting a Global Minimum Variance Portfolio in R
jingyeGao/BVAR-bayesianvar-Julia
Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models
jingyeGao/covShrinkage
A Package for Shrinkage Estimation of Covariance Matrices
jingyeGao/DCC-APARCH-model
Dynamic conditional correlation for portfolio management
jingyeGao/Estimation-and-Inference-of-Extremal-Quantile-Treatment-Effects-for-Heavy-Tailed-Distributions
A repository to reproduce the numerical results in the Extremeal QTE paper
jingyeGao/EstimationOfCovarianceMatrix
Estimation of the Covariance Matrix - linear and nonlinear shrinkage
jingyeGao/HAR-RV-model
Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).
jingyeGao/Innovation-on-brazilian-economic-research
Scientific research project. The idea was to analyse the patterns of innovation in economics research. It was based on Topic Modellind and Information Theory concepts to make quantitative measures of innovation, transience and resonance of a given paper.
jingyeGao/Master-Thesis
Forecasts of Risk Measurements using the Multivariate Realized GARCH Model
jingyeGao/mf-bavart
MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
jingyeGao/mfbvar
R package for Mixed-Frequency Bayesian VARs
jingyeGao/mfGARCH
An R package for using mixed-frequency GARCH models
jingyeGao/MiDAS_Bayesian_VAR_Nowcasting
jingyeGao/Multivariate-DCC-GARCH-model
Multivariate DCC-GARCH model
jingyeGao/nowcasting
R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:
jingyeGao/protectR
This R package lets you implement Bayesian Partially Protected Lasso where you can protect theoretically important variables from shrinkage.
jingyeGao/Risk-Parity-and-Minimal-Variance-Portfolio-based-on-a-Regularized-Estimate-of-Variance-Covariance-Ma