ZhangZhiHu / assetPricingLinks
☆24Updated 8 years ago
Alternatives and similar repositories for assetPricing
Users that are interested in assetPricing are comparing it to the libraries listed below
Sorting:
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 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 …☆27Updated 2 years ago
- PhD 403: Empirical Asset Pricing☆28Updated 6 years ago
- Resources for a PhD class module focused on anomalies.☆17Updated last year
- ☆15Updated 5 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- ☆12Updated 10 years ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Updated 6 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 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
- ☆12Updated 2 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆38Updated 4 years ago
- Materials for the mini-course on deep learning and macro-finance.☆22Updated last year
- ☆41Updated 6 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆17Updated 4 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Big Data Applications in Finance module (MSc level)☆16Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆14Updated last year
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- Example code to create firm level risk in Hassan et al. (2020)☆56Updated 3 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- Jupyter notebooks illustrating solutions to computational macroeconomic problems☆16Updated 4 years ago
- MD&A sections from 10-Ks; 2002-2018☆37Updated 11 months ago