financial-econometrics topic
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financial-econometrics repositories
hurst
280
Stars
80
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Hurst exponent evaluation and R/S-analysis in Python
FX_forecasting_model
26
Stars
17
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Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
hf.econometrics
16
Stars
8
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Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod /...