NighT-TraiN / Fama-French-ReplicationLinks
☆12Updated 10 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
Sorting:
- ☆23Updated 7 years ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Updated 5 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 5 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆26Updated last year
- Data matching for corporate governance research☆18Updated last year
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆21Updated 5 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 8 months ago
- R code for the IMF edX course on Macroeconomic Forecasting☆15Updated 9 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 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 4 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Link tables between SIC and Fama French Industry Classification.☆18Updated 9 months ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆16Updated 4 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- Spectral decomposition of spillover measures☆106Updated 2 years ago
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 5 years ago
- Matteo Iacoviello's personal webpage☆11Updated last week
- ☆11Updated 5 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ☆95Updated 4 months ago
- TENET: Tail-Event driven NETwork Risk☆47Updated 5 months ago
- DSGE/CGE/VAR/DID/RD/IV/Panel Data☆17Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 9 months ago
- Factor-Based Imputation for Missing Data☆58Updated 5 months ago