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
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Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
finance
time-series
trading-bot
cryptocurrency
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
cryto-currency
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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Dec 26, 2023 - 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
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