andreachello / Applied-Econometric-Time-Series
A repository to explore the concepts of applied econometrics in the context of financial time-series.
☆35Updated 5 years ago
Alternatives and similar repositories for Applied-Econometric-Time-Series:
Users that are interested in Applied-Econometric-Time-Series are comparing it to the libraries listed below
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- Macro with Python☆54Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- A curated list of Vector Autoregression resources☆55Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 4 months ago
- Calibrate, estimate and analyze linearized DSGE models.☆34Updated last week
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- ☆37Updated 10 months ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- ☆23Updated 7 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
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆29Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- 📈A dash app showing Interactive Visualisation of the Yield Curve UK and US☆30Updated 9 months ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 5 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 10 months ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆35Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆11Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 9 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago