This code demonstrates the difference between exact and conditional likelihood estimation in small sample analysis of monthly log returns of IBM and KO stocks for sample period of 2001-2011 and 132 observations.
Essential techniques to assess financial risks
1. Algoritmos de clasificación de operaciones financieras / 2. Liquidez (horquillas y profundidad) / 3. Descomposición de horquillas / 4. Modelos basados en series temporales
2019.02.21 우수상 롯데그룹 온라인 쇼핑몰의 온라인 행동데이터를 이용하여 온라인 선호지수 및 주요 상품군별 수요트렌드 예측
documenting my bachelor thesis
Ce Travail vise à reproduire les méthodes statistiques utilisées dans un article de recherche qui a exploré l’impact de COVID-19 sur la volatilité de l’indice boursier marocain (MASI).
R port of Lenza & Primiceri (2022) 'How to estimate a VAR after March 2020' - Bayesian VAR with COVID-19 volatility
Monte Carlo portfolio risk optimizer in R that simulates correlated returns and minimises 95% VaR using constrained numerical optimization.
A collection of quantitative finance models and risk analysis tools implemented in R. This repository includes projects on Value at Risk (VaR), Generalized Extreme Value (GEV) modeling, Bond Pricing, Sentiment Analysis in finance, and SMA-based trading strategies. These models help in portfolio risk assessment, financial forecasting, and algorithmi
Macroeconometrics (Bsc/ Msc course at UCSD, R code)
Multivariate Time Series Analysis using Financial data in R
This code lets you conduct the following commands: VAR model creation, simplification, checking, prediction, Impulse Response Function, Granger Causality.
La relación a largo plazo y la causalidad entre las exportacioens mineras, la producción industrial y el crecimiento económico en Perú: Un estudio de caso utilizando un modelo VEC
[R] Statistical analysis of financial data conducted in R
Graphic convergence diagnostics for the BMR (Bayesian Macroeconometrics in R) package
Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
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