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Faisal Nawaz's Projects

10k-mda-section icon 10k-mda-section

Extract the Management Discussion and Analyses (MD&A) section from 10K Financial Statements

aofts3rd_python icon aofts3rd_python

Reproducing Ruey S. Tsay - Analysis of Financial Time Series, Third Edition (2010) in Python.

atap icon atap

Code for Applied Text Analysis with Python

cds-hedging icon cds-hedging

Modelled multivariate Gumbel-Marshall-Olkin distribution of default times with exponential marginals and unobservable components with exponential occurrence times and Archimedean dependence given by the Gumbel copula; Derived static hedge, mark-to-market hedge and EWMA hedge of CDS derivatives written on the simultaneous default of a basket of obligors; estimated and validated the model on CDS market data with an application to 20 European banks representative of 5 countries.

cfie-frse icon cfie-frse

CFIE Final Report Structure Extractor (FRSE) is a free tool to detect structure and extract contents from UK Annual Reports

copula-toolbox icon copula-toolbox

Copula toolbox based on Patton's handbook toolbox was revised by Jincheng Gong. Now, it is suitable for Matlab R2022a. But I don't know whether the old version can be used to process this toolbox. I recommond the users to install the latest version of Matlab.

copula-toolbox-1 icon copula-toolbox-1

Copula toolbox based on Patton's handbook toolbox was revised by Jincheng Gong. Now, it is suitable for Matlab R2022a. But I don't know whether the old version can be used to process this toolbox. I recommond the users to install the latest version of Matlab.

copulae icon copulae

Multivariate data modelling with Copulas in Python

copulafactormodel icon copulafactormodel

Inference for Gaussian copula factor models and its application to causal discovery.

copulagarch icon copulagarch

Simulates 4 time series that follow a copula-GARCH(1,1) model, and then estimates the model parameters for their comparison with the real values.

copulas icon copulas

A library to model multivariate data using copulas.

copulastatistic icon copulastatistic

All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"

copulpy icon copulpy

Python package for the analysis of multiattribute utility copulas.

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