Quantactix / TreeFactor
☆25Updated last year
Alternatives and similar repositories for TreeFactor:
Users that are interested in TreeFactor are comparing it to the libraries listed below
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- ☆68Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- ☆23Updated 7 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- ☆28Updated 4 years ago
- ☆9Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆16Updated 4 years ago
- Equity return and characteristics of China A-Share market☆14Updated last year
- empirical asset pricing☆44Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 5 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Replication of momentum strategy☆15Updated 2 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 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
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆17Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- ☆18Updated 2 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 7 months ago
- Replication of https://ssrn.com/abstract=3984925☆28Updated 10 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 3 months ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago