andreachello / Applied-Econometric-Time-Series
A repository to explore the concepts of applied econometrics in the context of financial time-series.
☆32Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for Applied-Econometric-Time-Series
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆40Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆15Updated 4 years ago
- RBC Model Jupyter Notebook☆10Updated 5 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- Macro with Python☆52Updated 3 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 …☆22Updated last year
- ☆36Updated 6 months ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆32Updated 3 years ago
- ☆23Updated 7 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆15Updated 6 months ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆10Updated 4 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆23Updated 8 months ago
- Calibrate, estimate and analyze linearized DSGE models.☆30Updated 2 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆26Updated 3 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Code from "Introduction to Python for Econometrics, Statistics and Data Analysis" by Kevin Sheppard☆73Updated 3 years ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆29Updated last year
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- ☆39Updated 5 years ago
- ☆28Updated 3 years ago
- ECON457 2018 Applied Computational Economics and Finance☆25Updated 7 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆22Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆43Updated last month
- Code for "Methodological Uncertainty in Portfolio Sorts".☆16Updated 5 months ago
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 8 years ago