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Apr 14, 2020

f85b7ed · Apr 14, 2020

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src		src	change project structure	Apr 4, 2020
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README.md		README.md	change project structure	Apr 4, 2020
__main__.py		__main__.py	change project structure	Apr 4, 2020
datapipeline.py		datapipeline.py	change project structure	Apr 4, 2020
utils.py		utils.py	change project structure	Apr 4, 2020

README.md

Dynamic Correlation Coefficient Estimation

Multiple GARCH
- DCC
- BEKK
Option Implied Volatility
- Forward Implied
- Option Implied

$\begin{array}{r} y_{i, t} = X_{t} β + C_{i, t} α_{i, t} + ϵ_{i, t} \end{array}$