Module finance_kernels 

Finance and Economics Kernel Methods

This module implements kernel methods for financial and economic applications, including financial time series analysis, volatility modeling, econometric methods, portfolio optimization, and risk analysis.

References

• Engle (1982): “Autoregressive Conditional Heteroskedasticity”
• Bollerslev (1986): “Generalized Autoregressive Conditional Heteroskedasticity”
• Tsay (2010): “Analysis of Financial Time Series”
• McNeil et al. (2015): “Quantitative Risk Management”

Structs

EconometricKernel

Kernel method for econometric time series analysis

FinancialKernel

Kernel method for financial time series analysis

PortfolioKernel

Kernel method for portfolio optimization and analysis

RiskKernel

Kernel method for financial risk analysis

VolatilityKernel

Kernel method for volatility modeling and forecasting

Enums

VolatilityModel

Volatility modeling method