Pinned Repositories
-Deep_Learning_in_Asset_Pricing
access-r-source
How to get at R source. I am sick of Googling this. I am writing it down this time.
Adaptive_Penalized_Macro_Factors
Advance-Simulation-Methods-Project-for-Stock-Price-Forecasting
In general, the simulation is in a Geometric Brownian Motion framework, and with some modifications. I first visualize price and daily returns to find some trend and features of that stock, then I use the analytical insights to construct the model that can capture as much information as possible. Finally, I quantify the information, and put them into my simulation model.
Advanced-Deep-Learning-with-Keras
Advanced Deep Learning with Keras, published by Packt
Forecasting-Realized-Volatility-for-Crude-Oil-Futures-with-High-Frequency-Data
master_thesis
Repository for master thesis: LSTM Neural Networks and HAR Models for Realized Volatility - An Application to Financial Volatility Forecasting
MIDASLec
A package with required functions (and packages) for running examples of different MIDAS models presented at CORE lectures, September 2019.
SystemicRisk
A framework for systemic risk valuation and analysis.
time-series-transformers-review
A professionally curated list of awesome resources (paper, code, data, etc.) on transformers in time series.
yangkedc1984's Repositories
yangkedc1984/Forecasting-Realized-Volatility-for-Crude-Oil-Futures-with-High-Frequency-Data
yangkedc1984/time-series-transformers-review
A professionally curated list of awesome resources (paper, code, data, etc.) on transformers in time series.
yangkedc1984/All-About-Time-Series-Analysis
[Advanced] Practical Statistical Inference and Machine/Deep Learning for Time Series Forecasting
yangkedc1984/awesome-network-analysis
A curated list of awesome network analysis resources.
yangkedc1984/BayesLearnCourse
Bayesian Learning course at Stockholm University
yangkedc1984/changepoints
An R Package for Change Point Localisation
yangkedc1984/ConnectednessApproach-1
yangkedc1984/CQVAE
This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoencoder".
yangkedc1984/desla
yangkedc1984/Econometrics
Econometrics lecture notes with examples using the Julia language
yangkedc1984/em-matlabbox
matlab toolboxes
yangkedc1984/fmxdat
Financial Econometrics data warpper package
yangkedc1984/graph-based-deep-learning-literature
links to conference publications in graph-based deep learning
yangkedc1984/Hidden-Markov-Model-for-Stock-Trading
yangkedc1984/High-Resolution-Working-Layouts-and-Time-Series-for-Renewable-Energy-Generation-in-Europe
yangkedc1984/mxnet
Lightweight, Portable, Flexible Distributed/Mobile Deep Learning with Dynamic, Mutation-aware Dataflow Dep Scheduler; for Python, R, Julia, Scala, Go, Javascript and more
yangkedc1984/netrics
A Python 3.7 package for the econometric analysis of networks
yangkedc1984/nowcast_lstm
LSTM neural networks for nowcasting economic data.
yangkedc1984/nowcast_lstm_matlab
MATLAB wrapper for nowcast_lstm python package
yangkedc1984/nowcastLSTM
R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.
yangkedc1984/nwxtregress
Network Regressions in Stata
yangkedc1984/panelForecasting
Code for Pesaran, Pick and Timmermann "Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity"
yangkedc1984/Predict-realized_volatility
yangkedc1984/prophet
Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
yangkedc1984/Realized-volatility-forecasting-LASSO-approach-and-HAR
Based on the approaches which are presented in "Forecasting Realised Volatility: Does the LASSO approach outperform HAR?" (Yi Ding, Dimos Kambouroudis & David G McMillan, 2021) I predict realized volatility for different indices (UK, USA, Germany and others)
yangkedc1984/Robust_high_dimensional_IV_Cointegration
yangkedc1984/SARS-CoV-2-codes
yangkedc1984/synthetic_vol_forecasting
volatility forecasting within the synthetic prediction framework
yangkedc1984/Topics-In-Modern-Statistical-Learning
Materials for STAT 991: Topics In Modern Statistical Learning (UPenn, 2022 Spring) - focus on uncertainty quantification
yangkedc1984/Variable_Selection_GoF_testing_under_endogeneity