LemaireJean-Baptiste / eventstudy
Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.
☆64Updated last year
Alternatives and similar repositories for eventstudy:
Users that are interested in eventstudy are comparing it to the libraries listed below
- Financial research data services for academics.☆88Updated 2 months ago
- Replication of momentum strategy☆18Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Replication of https://ssrn.com/abstract=3984925☆31Updated 11 months ago
- ☆23Updated 7 years ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆50Updated 7 months ago
- US equity (portfolio) characteristics, the main file is in SAS.☆18Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆38Updated 8 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- ☆9Updated 5 years ago
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- Example projects and Tutorials demonstrating access to the Refinitiv Data Platform using the Refinitiv Data Library for Python☆90Updated last week
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- ☆70Updated 2 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 5 months ago
- ☆25Updated last month