Predict correlations and covariances of returns using open-high-low-close data
statisticscorrelationquantitative-financevolatilitygarchcovariancetime-series-analysisohlcmultivariate-garchdcc-garchasymmetric-garch
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May 12, 2026 - Python
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multivariate-garch
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Links to my LLM chats in finance, econometrics and statistics, and programming
financeprobability-distributionmathematical-statisticsvolatilitygarchlaplace-distributionlognormal-distributionstochastic-volatilityhyperbolic-distributionchatgptmultivariate-garch
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Jul 20, 2026 - Python
Bayesian Estimation and Inference for the ECCC-GARCH Model in R
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Aug 25, 2022 - TeX
End-to-End Python implementation of Lacava's (2026) "Shifting Correlations" research. Features Numba-compiled GJR-GARCH volatility filtering, augmented DCC-X framework with exogenous Trade Policy Uncertainty integration, structural break testing, out-of-sample GMV optimization, and Model Confidence Set validation.
pythonjupyter-notebookeconometricsportfolio-optimizationquantitative-financenumbaasset-pricingrisk-managementtime-series-analysisfinancial-econometricsmodel-confidence-setvolatility-modelinggarch-modelsmultivariate-garchdynamic-conditional-correlationstructural-breakstrade-policy-uncertaintycorrelation-modelingcovariance-forecastingsafe-haven-assets
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Mar 29, 2026 - Jupyter Notebook
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