ZhangZhiHu / assetPricing

Related projects: ⓘ

• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆12Updated 4 years ago
• edavila / identifying_price_informativeness
  Replication Code for Identifying Price Informativeness
  ☆12Updated 3 years ago
• velikov-mihail / AnomaliesPhDModule
  Resources for a PhD class module focused on anomalies.
  ☆11Updated 3 months ago
• Feng-CityUHK / EquityCharacteristicsSAS
  US equity (portfolio) characteristics, the main file is in SAS.
  ☆16Updated 8 months ago
• NighT-TraiN / Fama-French-Replication
  ☆11Updated 9 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆22Updated last year
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆23Updated 5 years ago
• dkaenzig / replicationOilSupplyNews
  Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021
  ☆10Updated 11 months ago
• fkempf92 / FactorData
  Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
  ☆27Updated last year
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆22Updated 2 years ago
• ralphkoijen / demand_asset_pricing
  ☆12Updated 4 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆17Updated last year
• velikov-mihail / AssayingAnomalies
  MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
  ☆20Updated last year
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆12Updated 5 years ago
• zhangkelly014 / Nowcasting
  Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
  ☆10Updated 4 years ago
• miabrahams / PricingTermStructure
  Pricing the Term Structure with Linear Regressions
  ☆34Updated 6 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆18Updated 3 years ago
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 4 years ago
• Quantactix / TreeFactor
  ☆20Updated 9 months ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆78Updated last month
• chardonnensp / Datastream-Worldscope-fundamental-dataset
  This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…
  ☆10Updated 3 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆34Updated 3 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆15Updated 3 months ago
• Alexander-M-Dickerson / TRACE-corporate-bond-processing
  Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.
  ☆43Updated 2 months ago
• QuantEcon / dynamic_factor_models
  ☆37Updated 5 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆20Updated 6 years ago
• iangow / wrds2pg
  Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV
  ☆16Updated 2 months ago
• davidjsmith44 / NLP-Fed-Speeches
  Economic Impact of Federal Reserve Speeches and Press Releases
  ☆12Updated 5 years ago