GiulioRossetti94 / PyBondLabLinks
☆31Updated 5 months ago
Alternatives and similar repositories for PyBondLab
Users that are interested in PyBondLab are comparing it to the libraries listed below
Sorting:
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆19Updated 9 months ago
- code for turning data sets into trading strategies☆38Updated last month
- qmoms package to compute option-implied moments from surface data☆24Updated last year
- ☆41Updated 6 years ago
- ☆24Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Python Nowcasting☆132Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Python implementation of the midasml approach☆27Updated 6 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆60Updated 2 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆53Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 years ago
- ☆52Updated last month
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆39Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆41Updated 4 months ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆50Updated last year
- My replication of financial papers.☆19Updated 7 years ago