JustinMShea / ExpectedReturnsLinks
☆55Updated 4 months ago
Alternatives and similar repositories for ExpectedReturns
Users that are interested in ExpectedReturns are comparing it to the libraries listed below
Sorting:
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Replication of momentum strategy☆19Updated 3 years ago
- Financial research data services for academics.☆98Updated 3 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated last week
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆52Updated 7 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆41Updated last week
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated last week
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Design of Risk Parity Portfolios☆116Updated 3 years ago
- ☆82Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Empirical Data and Some Simulation Codes☆108Updated 6 years ago
- Realized Volatility Forecasting modeling☆19Updated 8 years ago
- https://arxiv.org/abs/1805.01104☆121Updated 5 years ago
- Composite Indicators Framework for Business Cycle Analysis☆63Updated 3 years ago
- ☆22Updated 3 years ago
- My replication of financial papers.☆20Updated 7 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆69Updated 3 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 6 months ago
- code for turning data sets into trading strategies☆38Updated 2 weeks ago
- ☆78Updated 3 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago