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1. master_thesis master_thesis Public

   Repository for master thesis: LSTM Neural Networks and HAR Models for Realized Volatility - An Application to Financial Volatility Forecasting

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2. MIDASLec MIDASLec Public

   A package with required functions (and packages) for running examples of different MIDAS models presented at CORE lectures, September 2019.

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3. Multivariate-Financial-Time-Series-Forecasting-with-Machine-Learning Multivariate-Financial-Time-Series-Forecasting-with-Machine-Learning Public

   Project using FTSE100 & SPX500 macroeconomic stock price data to forecast the close price of each dataset. Using Multivariate Vector Autoregressive Model (VAR), Vector Autoregressive moving-average…

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4. rvhedging rvhedging Public

   Code for "The Economic Value of Volatility Timing using Realized Volatility for Hedged S&P 500 Index Options"

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5. B.A.-Thesis B.A.-Thesis Public

   Codes used in the B.A. Thesis

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6. VAR_MOSUM VAR_MOSUM Public

   Moving Sum (MOSUM) procedure for detecting and locating changepoints in vector autoregressive (VAR) models for multivariate time series

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