FRBNY-TimeSeriesAnalysis / Nowcasting
Nowcasting
☆204Updated 4 years ago
Related projects: ⓘ
- Python Nowcasting☆114Updated 3 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆98Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆238Updated last month
- Empirical Data and Some Simulation Codes☆96Updated 5 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆35Updated 10 months ago
- Code to get data from WRDS to PostgreSQL☆46Updated 3 weeks ago
- Calculate U.S. equity (portfolio) characteristics☆78Updated last month
- ☆100Updated 2 years ago
- Economic Impact of Federal Reserve Speeches and Press Releases☆12Updated 5 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆95Updated 4 months ago
- qrm☆225Updated last year
- Spectral decomposition of spillover measures☆96Updated last year
- qmoms package to compute option-implied moments from surface data☆14Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆34Updated 6 years ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆10Updated 4 years ago
- ☆60Updated 2 weeks ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆43Updated 2 months ago
- ☆60Updated last year
- This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due…☆24Updated 4 months ago
- 2018-2019 Quantitative Macroeconomics, UAB☆65Updated 5 years ago
- Mixed Data Sampling (MIDAS) Modeling in Python☆18Updated 4 years ago
- Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)☆54Updated 2 years ago
- Read WRDS datasets remotely (from wrds-cloud) into a Pandas dataframe. For any issues with this package, please contact wrds-support@whar…☆125Updated last month
- [IrisToolbox] for Macroeconomic Modeling☆92Updated 5 months ago
- Composite Indicators Framework for Business Cycle Analysis☆56Updated 2 years ago
- Calibrate, estimate and analyze linearized DSGE models.☆29Updated this week
- A framework for financial systemic risk valuation and analysis.☆155Updated last year
- Website dedicated to a book on machine learning for factor investing☆201Updated last year
- An R package for using mixed-frequency GARCH models☆60Updated last year
- ☆75Updated 2 months ago