JLDC / model-confidence-setLinks
Model Confidence Set (MCS) implementation in Python
☆14Updated 9 months ago
Alternatives and similar repositories for model-confidence-set
Users that are interested in model-confidence-set are comparing it to the libraries listed below
Sorting:
- Vector Autoregression augmented with deep learning.☆16Updated last year
- ☆27Updated last month
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 5 months ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆45Updated last month
- ☆47Updated 5 months ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆16Updated 5 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆119Updated 7 months ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆40Updated 5 years ago
- ☆106Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆21Updated last year
- Quantile Local Projections☆12Updated 3 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Replication Files for "Evaluating Monetary Policy Counterfactuals: (When) Do We Need Structural Models?" by Caravello, McKay & Wolf☆16Updated 3 weeks ago
- Deep Dynamic Factor Models☆22Updated last year
- Empirical Finance Course (PhD, Julia code)☆36Updated 8 months ago
- ☆18Updated 3 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆26Updated last year
- Calibrate, estimate and analyze linearized DSGE models.☆33Updated 3 months ago
- Multivariate GARCH Models☆14Updated 2 months ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆151Updated 3 weeks ago
- Nowcasting☆219Updated 5 years ago
- Fully Flexible Probabilities for Stress-Testing and Portfolio Construction☆17Updated 2 years ago
- Financial Econometrics (MSc, Julia code)☆66Updated last week
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆50Updated last year
- A curated list of Vector Autoregression resources☆57Updated 2 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due…☆36Updated 8 months ago
- ☆15Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 9 months ago