NighT-TraiN / Fama-French-Replication
☆12Updated 9 years ago
Alternatives and similar repositories for Fama-French-Replication:
Users that are interested in Fama-French-Replication are comparing it to the libraries listed below
- ☆23Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Updated 5 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Data matching for corporate governance research☆15Updated 10 months ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ☆18Updated 2 years ago
- This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…☆12Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 4 months ago
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 9 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- ☆11Updated last month
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆16Updated 3 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 9 months ago
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 5 months ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆19Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated this week
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 4 years ago