Pinned Loading

1. garch-volatility-spillovers garch-volatility-spillovers Public

   Do market volatility spillovers improve stock-level GARCH forecasts and portfolios? Variance-targeting MLE (Rcpp), rolling OOS forecasting, and minimum-variance CAPM portfolios on S&P 500 constitue…

   R

2. growth-at-risk-replication growth-at-risk-replication Public

   Python reimplementation of Brownlees & Souza's Growth-at-Risk: quantile regression, panel QR, and GARCH conditional densities across 24 economies, with tick-loss/DQ/DM evaluation.

   Python 1 1

3. rv-forecasting-har-nn rv-forecasting-har-nn Public

   BSc thesis (8.1/10): an honest out-of-sample test of neural networks vs HAR-RV and GARCH for realized volatility forecasting across 8 equity indices.

   Jupyter Notebook 1

4. vwce-forecasting vwce-forecasting Public

   GJR-GARCH + jump + Bayesian-shrinkage Monte Carlo of long-horizon ETF wealth, plus production automated-DCA and buy-and-hold execution via Interactive Brokers.

   Python

5. online-learning-rates-volatility online-learning-rates-volatility Public

   Model-Assisted Online Learning (MAOL): a three-layer parameter-free online framework for rates volatility forecasting and VaR calibration, with finite-time regret & calibration guarantees. 40y US T…

   Jupyter Notebook