vine-copulas

There are 0 repository under vine-copulas topic.

• EmanuelSommer / portvine

  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

  expected-shortfallgarch-modelsrpackagevalue-at-riskvine-copulas
  Language:R 19

• Sinbad-The-Sailor / Abacus

  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

  extreme-value-theorymonte-carlo-simulationvine-copulasmodel-predictive-controlportfolio-optimizationfinancetime-seriesneural-networkstrading-botalgorithmic-tradingrisk-managementcopulastrading-strategiesstochastic-processesstochastic-programmingcryptocurrencycryto-currencyquantitative-financequantitative-trading
  Language:Jupyter Notebook 17

• ElsevierSoftwareX / SOFTX-D-21-00039

  MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455

  vine-copulascopulasdependence-modelingmatlab
  Language:MATLAB 14

• jobstdavid / gamvinereg

  D-Vine GAM Copula based Quantile Regression

  conditional-copulasquantile-regressionvine-copulas
  Language:R 5

• EmanuelSommer / PortvineThesis

  Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'

  expected-shortfallgarch-modelsmaster-thesisvalue-at-riskvine-copulas
  Language:HTML 3

• yuyuliangyu / matlab-vine-copula

  这是一个用matlab编写的vine-copula

  vine-copulas
  Language:MATLAB 3