LenkaV / CIF
Composite Indicators Framework for Business Cycle Analysis
☆60Updated 2 years ago
Alternatives and similar repositories for CIF:
Users that are interested in CIF are comparing it to the libraries listed below
- Replication of https://ssrn.com/abstract=3984925☆33Updated last year
- Python Nowcasting☆124Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- ☆47Updated 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
- Replication of momentum strategy☆18Updated 2 years ago
- Financial research data services for academics.☆88Updated 2 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆40Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- ☆33Updated last month
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- Example code of simple things one can do with our open-source asset pricing data☆50Updated 7 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Code that I show on my YouTube Channel☆98Updated last year
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 2 weeks ago
- ☆25Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago