NighT-TraiN / Fama-French-Replication
☆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
- PhD 403: Empirical Asset Pricing☆27Updated 6 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
- 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 4 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".☆17Updated 11 months ago
- TVP VAR Workshop☆12Updated 5 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- ☆14Updated 4 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
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- Data matching for corporate governance research☆17Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆23Updated 7 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 5 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated 11 months ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- DSGE/CGE/VAR/DID/RD/IV/Panel Data☆17Updated 5 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆50Updated 6 months ago
- ☆19Updated 2 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆16Updated 3 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 10 months ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Updated 5 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated 2 years ago
- ☆11Updated 3 months ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Estimation and forecasting of VAR model with the Lasso☆29Updated last week
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year