Pinned Repositories
100-Days-Of-ML-Code
100 Days of ML Coding
comparison-between-GARCH-type-models
The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of different GARCH-type models, including GARCH, EGARCH, TGARCH and GJRGARCH, when forecasting implied volatility.
fduthesis
LaTeX thesis template for Fudan University
lassovar
Estimation and forecasting of VAR model with the Lasso
Multivariate-DCC-GARCH-model
Multivariate DCC-GARCH model
riskdash
Dashboard to view live measures of connectedness and systemic risk in the finance and insurance sectors.
RiskMeasures
R code for VaR and ES computations
sparsevar
R package for sparse VAR estimation
SRISK_Thesis
Hertie School of Governance Masters Thesis Scripts
SystemicRisk
A framework for systemic risk valuation and analysis.
wobushimogu's Repositories
wobushimogu/fduthesis
LaTeX thesis template for Fudan University
wobushimogu/sparsevar
R package for sparse VAR estimation
wobushimogu/RiskMeasures
R code for VaR and ES computations
wobushimogu/SystemicRisk
A framework for systemic risk valuation and analysis.
wobushimogu/Multivariate-DCC-GARCH-model
Multivariate DCC-GARCH model
wobushimogu/comparison-between-GARCH-type-models
The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of different GARCH-type models, including GARCH, EGARCH, TGARCH and GJRGARCH, when forecasting implied volatility.
wobushimogu/100-Days-Of-ML-Code
100 Days of ML Coding
wobushimogu/var-es-assessment-of-cryptos
Value at Risk and Expected Shortfall estimations of cryptocurrencies
wobushimogu/SRISK_Thesis
Hertie School of Governance Masters Thesis Scripts
wobushimogu/lassovar
Estimation and forecasting of VAR model with the Lasso
wobushimogu/riskdash
Dashboard to view live measures of connectedness and systemic risk in the finance and insurance sectors.