allisterh Goto Github PK

-microfinance_economic_development

Final Project submitted for the Research Module in Finance (WiSe 2019/20) at University of Bonn

-nowcast-gtrend_for_nowcast_gdp

gtrend utilization to nowcast GDP

-panel_smooth_transition_regression-pstr_experiments

provides R codes for all the experiments in the paper "Panel Smooth Transition Regression Models"

-political_uncertainty_bank_deposits

Y. Usenko, 2018. Political Uncertainty and Bank Deposits: Cross-Country Evidence. Master Thesis, Rheinische Friedrich-Wilhelms-Universität Bonn.

-stochastic-volatility-strucvol

An R package for estimating and testing structural stochastic volatility models.

-var-historicalvar

Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR

a-bayesian-variable-selection-method-for-skewed-and-heteroscedastic-response

We propose new Bayesian methods with proper theoretical justification for selecting and estimating a sparse regression coefficient vector for skewed heteroscedastic response. Our novel Bayesian procedures effectively estimate the median and other quantile functions, accommodate non-local prior for regression effects without compromising ease of implementation via sampling based tools. We also extend our method to deal with some observations with very large errors. The link for the paper is https://arxiv.org/abs/1602.09100. This repository contains R code to select important variables using Markov Chain Monte Carlo algorithm. The code is available for public use.

abayesianmarkovregimeswitchingmodelofstockreturnvolatility

abmr

:exclamation: This is a read-only mirror of the CRAN R package repository. abmR — Agent-Based Models in R

absorption-ratio-trading-strategy

Notebook which calculates absorption ratio, a predictor of economic systemic shock, through decomposition of PCA and AE. The intent is to compare the efficacy of these two strategies in this notebook

absorption_ratio-ar-_sys_risk

주성분 분석을 이용한 부동산 시장 Systemic Risk 연구

absorption_ratio-mark-kritzman-yuanzhen-li-sebastien-page-roberto-rigobon-2010-

Algorithm that can calculate the daily Absorption Ratio (Systemic Risk indicator) of all S&P 500 companies

absorptionratio_tradingstrategy

This project studies and tests the absorption ratio model, which is largely based on PCA. The goal is to test if this trading strategy is more profitable than the benchmark equal weight trading strategy.

access-to-finance-and-poverty

acm-term-premia-matlab

Code from my Master's dissertation: An implementation of Adrian et al's method for estimating the term premium in bond yields via linear regressions.

acm-term-premium

Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)

acm-term-structure-modeling-based-on-adrian-crump-and-moench-2013-

Research on term structure.

acm_model-analysis_2018_01_termpremium

acm_model-pricing-the-term-structure-with-linear-regression

About Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)

acm_term_premia

Code for Adrian, Crump and Mönch's 'Pricing the term structure with linear regressions' (2013), courtesy of Emanuel Mönch

acm_term_premium-python

ACM Term Premium Calculation Replication. https://www.newyorkfed.org/research/data_indicators/term_premia.html

actuarialsst

Actuarial Sciences Survival Toolbox

adaptive-ewa-wavelets

To fit the signals better with adaptive EWA to weaken both the edge effect and compression problem

adf-test-autocorrelation-unit-root

Code to apply the ADF test with the ur.df R function and to account for autocorrelation by performing the Breush Godfrey test

adpqmle_garch_models

Adaptive Quasi Maximum Likelihood Estimation of GARCH models

africa-economic-banking-and-systemic-crisis

Visualizations on Africa Economic, Banking and Systemic Crisis Data

africa_economic_crisis_analysis

Banking and Systemic Crisis Analysis in Africa between 1860 to 2014

afrimacro-nowcast_gdp

Attempting to make Nowcasts for sub-saharan countries using High Frequency Economic Data and Satellite images

agent_based_modelling_of_bankingsimfinnet

A set of agent-based and network tools that models, analyses and simulates interbank and other financial networks.

aggregation-transformation_forecasting

Simulations of "Proper scoring rules for multivariate probabilistic forecasts based on aggregation and transformation", Pic et al. (2024+)