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adavol

An Adaptive Recursive Volatility Prediction Method (AdaVol)

https://github.com/nicklaswerge/adavol

Science Score: 54.0%

This score indicates how likely this project is to be science-related based on various indicators:

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    CITATION.cff file
    Found CITATION.cff file
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    codemeta.json file
    Found codemeta.json file
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    .zenodo.json file
    Found .zenodo.json file
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    DOI references
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    Academic publication links
    Links to: arxiv.org, sciencedirect.com
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    JOSS paper metadata
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    Scientific vocabulary similarity
    Low similarity (2.0%) to scientific vocabulary
Last synced: 6 months ago · JSON representation ·

Repository

An Adaptive Recursive Volatility Prediction Method (AdaVol)

Basic Info
  • Host: GitHub
  • Owner: nicklaswerge
  • License: gpl-3.0
  • Language: Jupyter Notebook
  • Default Branch: master
  • Homepage:
  • Size: 614 KB
Statistics
  • Stars: 5
  • Watchers: 1
  • Forks: 2
  • Open Issues: 0
  • Releases: 0
Created almost 6 years ago · Last pushed about 2 years ago
Metadata Files
Readme License Citation

README.md

AdaVol: An Adaptive Recursive Volatility Prediction Method

This GitHub repository contains an implementation of the AdaVol algorithm presented in [1].

References

[1] Nicklas Werge and Olivier Wintenberger (2022). AdaVol: An Adaptive Recursive Volatility Prediction Method. Econometrics and Statistics 23, 19-35. arXiv preprint. publisher link.

Owner

  • Name: Nicklas Werge
  • Login: nicklaswerge
  • Kind: user
  • Location: Copenhagen, Denmark
  • Company: University of Southern Denmark

Citation (CITATION.cff) 

cff-version: 1.2.0
message: "If you use this software, please cite it as below."
authors:
- family-names: "Werge"
  given-names: "Nicklas"
  orcid: "https://orcid.org/0000-0001-9906-364X"
title: "AdaVol: An Adaptive Recursive Volatility Prediction Method"
version: 1.0.4
doi: 10.1016/j.ecosta.2021.01.004
date-released: 2020-05-05
url: "https://github.com/nicklaswerge/AdaVol"

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