Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
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Jan 22, 2024 - R
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vine-copulas
Here are 10 public repositories matching this topic...
Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
finance time-series neural-networks monte-carlo-simulation portfolio-optimization trading-strategies quantitative-finance algorithmic-trading stochastic-processes quantitative-trading risk-management model-predictive-control copulas stochastic-programming vine-copulas extreme-value-theory
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Feb 25, 2024 - Jupyter Notebook
MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455
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Apr 27, 2021 - MATLAB
D-Vine GAM Copula based Quantile Regression
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Sep 6, 2024 - R
Gradient-Boosted Estimation of Generalized Linear Models for Conditional Vine Copulas
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Jun 27, 2024 - R
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'
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Aug 24, 2023 - HTML
Monte Carlo research on how unknown marginal distributions and simplifying assumptions affect copula estimation error across families and sample sizes.
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Aug 4, 2026 - R
This repository contains R code for conditional inference using copula models.
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Apr 7, 2025
Neural D-vine scenarios, mixed historical/synthetic training, and scenario-CVaR recurrent TD3 for constrained portfolio control.
reinforcement-learning neural-network lstm portfolio-optimization quantitative-finance synthetic-data stochastic-control td3 cvar tail-risk vine-copulas
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Sep 16, 2026 - R
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