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Pinned

  1. esreg esreg Public

    The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

    R 2 2

  2. l1qr l1qr Public

    Lasso Quantile Regression

    Python 27 8

  3. ResampleHF ResampleHF Public

    Resample High Frequency Data

    Python 4 6

  4. RealizedQuantities RealizedQuantities Public

    Estimation of realized quantities

    Python 14 4

  5. esback esback Public

    Expected Shortfall Backtesting

    R 11 4

  6. Portfolio-Analysis Portfolio-Analysis Public

    Python 1 2