BayerSe

Sebastian Bayer's repositories

Implementation of a variety of Value-at-Risk backtests

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Lasso Quantile Regression

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Estimation of realized quantities

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Expected Shortfall Backtesting

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Resample High Frequency Data

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The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

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Codes for A joint quantile and expected shortfall regression framework

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Code for the paper: Regression Based Expected Shortfall Backtesting

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Easily create a beautiful website using Academic and Hugo

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A database migrations tool for SQLAlchemy.

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My personal website

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The Database Toolkit for Python

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