financial-econometrics

There are 17 repositories under financial-econometrics topic.

  • bashtage/arch

    ARCH models in Python

    Language:Python1.3k45207247

  • Mottl/hurst

    Hurst exponent evaluation and R/S-analysis in Python

    Language:Python282141179

  • asaficontact/FX_forecasting_model

    Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"

    Language:Python242017

  • YalDan/hf.econometrics

    Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

    Language:R16107

  • PaoloGiordani/SMARTboost.jl

    SMARTboost (boosting of smooth symmetric regression trees)

    Language:Julia12202

  • asaficontact/learning_to_beat_the_random_walk

    In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM), Artificial Neural Networks (ANN), and Sentiment Analysis in an effort to predict the directional changes in exchange rates for a list of developed and developing countries.

    Language:TeX8209

  • SakethAleti/ECON-690-HighFrequencyEconometrics

    Code and documents from Econ 690 at Duke

    Language:Jupyter Notebook7103

  • SakethAleti/PresAddress-SoFiE2021

    Code for the paper "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"

    Language:Jupyter Notebook5104

  • tunglinhpham/EventStudy_Covid19VN

    My project (in R) about analyzing the effect of the first COVID-19 outbreak to the Vietnam's stock market.

    Language:R3100

  • robinniesert/BayesianGAS

    Bayesian inference for Generalized Autoregressive Score models.

    Language:C++2113

  • donQuiote/FIN-407-Project

    Find the best characteristics using various models to best predict the future returns

    Language:Python1

  • jacobo-campo/Econometrics-in-R

    This repository includes different R scripts (with the data used) for the study and application of different topics from the study of Econometrics.

    Language:R1101

  • neilyejjey1999/yejjeyprojects

    Coding projects I have worked on, in R and Python. Predominantly includes utilizing code to recreate the Black Sholes Model, Greek Option calculator, Stochastic Process and Brownian Motion and other data science applications for finance. Python was also used primarily for machine learning applications in finance, using various functions from sklearn, random forests, among others to perform predictive analysis on data such as forecasting bitcoin prices, predicting loan default probability, and building neural networks with TensorFlow. R project involves importing datasets from excel as well as using R functions to relabel and tweak datasets that were initially incompatible. R was predominantly used to perform econometric analysis of data as well as basic statistical functions like finding P value and T value.

    Language:Jupyter Notebook1101

  • PaoloGiordani/SMARTboost

    SMARTboost (boosting of smooth symmetric regression trees)

    1100

  • tunglinhpham/JCochrane_dog_did_not_bark

    This is a project replicating the result of John Cochrane's famous paper about return's predictability (https://www.jstor.org/stable/40056861)

    Language:R1100

  • ahoundetoungan/ahoundetoungan.github.io

    This is my personal website code

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  • misacodes/speculative_bubbles_in_ethereum

    This repo contains a compiled dataset of Ethereum prices and R code for the detection of speculative bubbles using backward supremum augmented Dickey-Fuller procedure.

    Language:R0101