[分享]Quantitative finance codes@一册在手，万事无忧。

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This Quantitative finance codes list is partly what I have collected and published at my personal blog: http://www.mathfinance.cn during my financial engineering learning journey. Most of the entries were written when I was at university, apparently many codes can not be used directly for a certain purpose, we can, certainly, learn the way the coders applied. Although I try best to check each file before recommendation, downloading and using are at your own risk. Should you are interested and would like to track my latest collection, please visit my blog listed above.You can distribute this list as you want, the only wish from me is please do not change the sentences’ and leave the original links when you want to post somewhere, thank you.

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关键词：Quantitative QUANTITATIV Finance Financ quant 分享 Finance Quantitative codes

GARCH模型簇及多元GARCH模型组外文文献19篇

其中几篇是文献综述

1.Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH. Robert F. Engle&Kevin Sheppardy
2.Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia.Gerard H. Kuper , Lestano
3.ARCH modeling in finance:A review of the theory and empirical evidence.Tim Bollerslev,Ray Y. Chou,Kenneth F. Kroner
4.Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.Robert F. Engle.
5.Correlation dynamics in Europeanequity markets.Colm Kearney ,Valerio Pot
6.GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY.Tim BOLLERSLEV.
7.Forecasting the covariance matrix with the DCC GARCH model. 
8.Multivariate extremes for models with constant conditional correlations.
9.A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices.
10.BAYESIAN CLUSTERING OF MANY GARCH MODELS .Bauwens, Rombouts
11.COMPARING AND RANKING COVARIANCE STRUCTURES OF M-GARCH VOLATILITY MODELS.
12.Forecasting Volatility in Financial Markets: A Review
13.Forecasting Volatility with a GARCH(1,1) Model: Some NewAnalytical and Monte Carlo Results
14.Garch Forecasting Performance under Different Distribution Assumptions
15.Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management
16.Multivariate GARCH models
17.GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY.Tim BOLLERSLEV.
18.Forecasting Volatility: Evidence from the Macedonian Stock Exchange.
19.MULTIVARIATE GARCH MODELS: A SURVEY
 

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