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Name: Allister Hodge
Type: User
Company: Eastern Caribbean Central Bank
Bio: Economist with interest in data science and programming.
Location: St Kitts and Nevis
Name: Allister Hodge
Type: User
Company: Eastern Caribbean Central Bank
Bio: Economist with interest in data science and programming.
Location: St Kitts and Nevis
Final Project submitted for the Research Module in Finance (WiSe 2019/20) at University of Bonn
gtrend utilization to nowcast GDP
provides R codes for all the experiments in the paper "Panel Smooth Transition Regression Models"
Y. Usenko, 2018. Political Uncertainty and Bank Deposits: Cross-Country Evidence. Master Thesis, Rheinische Friedrich-Wilhelms-Universität Bonn.
An R package for estimating and testing structural stochastic volatility models.
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR
We propose new Bayesian methods with proper theoretical justification for selecting and estimating a sparse regression coefficient vector for skewed heteroscedastic response. Our novel Bayesian procedures effectively estimate the median and other quantile functions, accommodate non-local prior for regression effects without compromising ease of implementation via sampling based tools. We also extend our method to deal with some observations with very large errors. The link for the paper is https://arxiv.org/abs/1602.09100. This repository contains R code to select important variables using Markov Chain Monte Carlo algorithm. The code is available for public use.
AB SVAR in Matlab.
:exclamation: This is a read-only mirror of the CRAN R package repository. abmR — Agent-Based Models in R
Notebook which calculates absorption ratio, a predictor of economic systemic shock, through decomposition of PCA and AE. The intent is to compare the efficacy of these two strategies in this notebook
주성분 분석을 이용한 부동산 시장 Systemic Risk 연구
Algorithm that can calculate the daily Absorption Ratio (Systemic Risk indicator) of all S&P 500 companies
This project studies and tests the absorption ratio model, which is largely based on PCA. The goal is to test if this trading strategy is more profitable than the benchmark equal weight trading strategy.
Code from my Master's dissertation: An implementation of Adrian et al's method for estimating the term premium in bond yields via linear regressions.
Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)
Research on term structure.
About Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)
Code for Adrian, Crump and Mönch's 'Pricing the term structure with linear regressions' (2013), courtesy of Emanuel Mönch
ACM Term Premium Calculation Replication. https://www.newyorkfed.org/research/data_indicators/term_premia.html
Actuarial Sciences Survival Toolbox
To fit the signals better with adaptive EWA to weaken both the edge effect and compression problem
Code to apply the ADF test with the ur.df R function and to account for autocorrelation by performing the Breush Godfrey test
Adaptive Quasi Maximum Likelihood Estimation of GARCH models
Visualizations on Africa Economic, Banking and Systemic Crisis Data
Banking and Systemic Crisis Analysis in Africa between 1860 to 2014
Attempting to make Nowcasts for sub-saharan countries using High Frequency Economic Data and Satellite images
A set of agent-based and network tools that models, analyses and simulates interbank and other financial networks.
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.