Feng-CityUHK / EquityCharacteristicsLinks
Calculate U.S. equity (portfolio) characteristics
☆94Updated last year
Alternatives and similar repositories for EquityCharacteristics
Users that are interested in EquityCharacteristics are comparing it to the libraries listed below
Sorting:
- ☆71Updated 2 years ago
- Empirical Data and Some Simulation Codes☆103Updated 6 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆323Updated 5 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- Instrumented Principal Components Analysis☆231Updated 2 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆34Updated 2 years ago
- Python Nowcasting☆127Updated 4 years ago
- ☆47Updated 5 months ago
- Replication of momentum strategy☆18Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆43Updated last year
- empirical asset pricing☆46Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆54Updated 11 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Equity return and characteristics of China A-Share market☆20Updated last year
- ☆27Updated last year
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 3 weeks ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆96Updated last year
- qmoms package to compute option-implied moments from surface data☆21Updated last year
- Machine learning methods for identifing investment factors☆24Updated 3 years ago
- Financial research data services for academics.☆95Updated 6 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆44Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- A framework for financial systemic risk valuation and analysis.☆172Updated 2 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago