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/Advanced-Macroeconometrics
yangkedc1984/applied-methods-phd
Repo for Yale Applied Empirical Methods PHD Course
yangkedc1984/applied_metrics
A PhD course in Applied Econometrics and Panel Data
yangkedc1984/artificial_neural_networks
A collection of Methods and Models for various architectures of Artificial Neural Networks
yangkedc1984/BayesianMS-VAR-GC
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
yangkedc1984/BEAR-toolbox
The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and policy analysis.
yangkedc1984/bitcoin_volatility_forecasting
GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management
yangkedc1984/coding-for-economists
This repository hosts the code behind the online book, Coding for Economists.
yangkedc1984/commodity-realized-volatility-forecasting
R code for the article: "Do economic variables forecast commodity futures volatility?"
yangkedc1984/copulas-and-tail-dependence
yangkedc1984/deep-learning-time-series
List of papers, code and experiments using deep learning for time series forecasting
yangkedc1984/ECOM151_2020
Big Data Applications in Finance module (MSc level)
yangkedc1984/EmpiricalFinancePhD
Empirical Finance Course (PhD, Julia code)
yangkedc1984/Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .
yangkedc1984/financial-machine-learning
A curated list of practical financial machine learning tools and applications.
yangkedc1984/FinEx
yangkedc1984/FRM_Expectile
yangkedc1984/GenLouvain
A generalized Louvain method for community detection implemented in MATLAB
yangkedc1984/gmvarkit
:exclamation: This is a read-only mirror of the CRAN R package repository. gmvarkit — Estimate Gaussian Mixture Vector Autoregressive Model
yangkedc1984/InterpretableMLBook
《可解释的机器学习--黑盒模型可解释性理解指南》，该书为《Interpretable Machine Learning》中文版
yangkedc1984/Jakarta-s-Covid-19-Cases-Analysis
Analysis Done with a Group of Friends, Predicting Covid-19 Outbreak Return Period Using EVA with Peak-Over-Threshold, Also Doing EDA on The Data.
yangkedc1984/Lectures
This repository includes my lecture notes for some of the courses I have been teaching at UC Irvine. I will keep updating them over time.
yangkedc1984/macro-finance-forecasting-toolbox
Code library for financial and macroeconomic forecasting in MATLAB, Python, and R.
yangkedc1984/Macro_replication_presentations
Repository containing data, presentation material, and replication for macroeconomic academic literature
yangkedc1984/Multivariate-Financial-Time-Series-Forecasting-with-Machine-Learning
Project using FTSE100 & SPX500 macroeconomic stock price data to forecast the close price of each dataset. Using Multivariate Vector Autoregressive Model (VAR), Vector Autoregressive moving-average Model (VARMA), Long Short-Term Memory Model (LSTM) & Encoder-Decoder LSTM
yangkedc1984/NetworkRecovery
yangkedc1984/Topics-in-deep-learning
Materials for class on topics in deep learning (STAT 991, UPenn/Wharton)
yangkedc1984/uGMAR
:exclamation: This is a read-only mirror of the CRAN R package repository. uGMAR — Estimate Univariate Gaussian or Student's t Mixture Autoregressive Model
yangkedc1984/VAR_MOSUM
Moving Sum (MOSUM) procedure for detecting and locating changepoints in vector autoregressive (VAR) models for multivariate time series
yangkedc1984/VB-NAR