Feng-CityUHK / EquityCharacteristicsLinks
Calculate U.S. equity (portfolio) characteristics
☆98Updated last year
Alternatives and similar repositories for EquityCharacteristics
Users that are interested in EquityCharacteristics are comparing it to the libraries listed below
Sorting:
- ☆76Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆334Updated 7 months ago
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆140Updated 4 years ago
- Instrumented Principal Components Analysis☆240Updated 3 years ago
- ☆51Updated last week
- Python Nowcasting☆131Updated 4 years ago
- empirical asset pricing☆47Updated 2 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆35Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆48Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- ☆36Updated 4 years ago
- Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)☆67Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆22Updated last year
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Equity return and characteristics of China A-Share market☆22Updated 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 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆43Updated last year
- Replication of momentum strategy☆18Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- ☆109Updated 3 years ago
- DCC GARCH modeling in Python☆97Updated 5 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆48Updated 5 years ago
- Financial research data services for academics.☆99Updated last month
- Machine learning methods for identifing investment factors☆32Updated 3 years ago
- A framework for financial systemic risk valuation and analysis.☆176Updated 2 years ago
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago