LenkaV / CIF
Composite Indicators Framework for Business Cycle Analysis
☆59Updated 2 years ago
Alternatives and similar repositories for CIF:
Users that are interested in CIF are comparing it to the libraries listed below
- Python Nowcasting☆122Updated 4 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 6 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- ☆71Updated 3 months ago
- Replication of https://ssrn.com/abstract=3984925☆30Updated 11 months ago
- Financial research data services for academics.☆88Updated last month
- Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.☆64Updated last year
- ☆44Updated 6 months ago
- https://arxiv.org/abs/1805.01104☆112Updated 4 years ago
- Design of Risk Parity Portfolios☆108Updated 2 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Replication of key GARCH model papers☆33Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago
- ☆28Updated 4 years ago
- Website dedicated to a book on machine learning for factor investing☆222Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 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
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- LSTM neural networks for nowcasting economic data.☆64Updated 10 months ago
- Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)☆59Updated 3 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago