Feng-CityUHK / EquityCharacteristicsSAS

Related projects ⓘ

Alternatives and complementary repositories for EquityCharacteristicsSAS

• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• ralphkoijen / demand_asset_pricing
  ☆13Updated 4 years ago
• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆15Updated 4 years ago
• Quantactix / TreeFactor
  ☆23Updated 11 months ago
• edavila / identifying_price_informativeness
  Replication Code for Identifying Price Informativeness
  ☆12Updated 3 years ago
• fkempf92 / FactorData
  Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
  ☆28Updated last year
• JoostImpink / fama-french-industry
  Fama French Industry Classification
  ☆12Updated 5 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆82Updated 3 months ago
• czi-finance / wrds_sample_code
  Sample SAS programs that process WRDS data and facilitate econometric analysis
  ☆16Updated 3 years ago
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆23Updated 5 years ago
• velikov-mihail / AnomaliesPhDModule
  Resources for a PhD class module focused on anomalies.
  ☆11Updated 5 months ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆64Updated last year
• OpenSourceAP / CrossSectionDemos
  Example code of simple things one can do with our open-source asset pricing data
  ☆44Updated 2 months ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 3 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆22Updated last year
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆12Updated 5 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 3 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆14Updated 2 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• as4456 / Leo_Krippner_SSR
  Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
  ☆14Updated 3 years ago
• michaelewens / MD-A-10-K-data
  MD&A sections from 10-Ks; 2002-2018
  ☆31Updated last year
• asaficontact / FX_forecasting_model
  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
  ☆29Updated last year
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆23Updated 3 years ago
• yye9701 / KR_example
  ☆19Updated 2 years ago
• velikov-mihail / AssayingAnomalies
  MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
  ☆22Updated last year
• iangow / wrds2pg
  Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV
  ☆18Updated 4 months ago
• ioannisrpt / portsort
  A package to sort stocks into portfolios and calculate weighted-average returns.
  ☆16Updated 2 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆37Updated 3 years ago
• hrbzkm98 / ml-research
  A repository for machine learning based investment strategies
  ☆28Updated 5 years ago
• Alexander-M-Dickerson / TRACE-corporate-bond-processing
  Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.
  ☆43Updated 3 weeks ago