LenkaV / CIF
Composite Indicators Framework for Business Cycle Analysis
☆59Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for CIF
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Python Nowcasting☆119Updated 3 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆40Updated last year
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆58Updated last year
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.☆61Updated 10 months ago
- ☆41Updated 2 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Nowcasting☆208Updated 5 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 4 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Example projects and Tutorials demonstrating access to the Refinitiv Data Platform using the Refinitiv Data Library for Python☆73Updated last month
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- Design of Risk Parity Portfolios☆107Updated 2 years ago
- Financial research data services for academics.☆77Updated 2 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 2 months ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- ☆101Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- R code for CAViaR model☆27Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆253Updated this week
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆111Updated last year