oronimbus

ENH: Markov Switching (MS)-GARCH

1

Hi, would be great to support MSGARCH similar to this R package [here](https://cran.r-project.org/web/packages/MSGARCH/MSGARCH.pdf). Thanks

- Had some issues uploading to PyPi using `scm`. Need to do some more investigations. - Change `pyproject.toml`: ``` [project] dynamic = ["version"] [tool.setuptools_scm] version_scheme = "release-branch-semver" ``` - Change...

Taken from Gappy's book: it might make sense to add this for single stock allocation and idio covariance matrix estimation (there's an equivalent for factor covar as well). I have...

Planning on redoing the tearsheet and updating some of the components: - [ ] move computations into separate classes - [ ] add risk free rate for ratios and add...

winsorize if the asset-level score is between 5-10