andreachello / Applied-Econometric-Time-SeriesLinks
A repository to explore the concepts of applied econometrics in the context of financial time-series.
☆40Updated 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
Sorting:
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆55Updated last year
- Calibrate, estimate and analyze linearized DSGE models.☆34Updated 4 months ago
- A curated list of Vector Autoregression resources☆58Updated 2 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- ☆39Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- 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
- Macro with Python☆54Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 10 months ago
- ☆40Updated 6 years ago
- Contains data and documentation for paper: "Valuing Private Equity Investments Strip by Strip" with Arpit Gupta and Stijn Van Nieuwerburg…☆22Updated 4 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated 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
- Big Data Applications in Finance module (MSc level)☆16Updated 3 years ago
- ☆28Updated 2 months ago
- Python Nowcasting☆127Updated 4 years ago
- Python implementation of the midasml approach☆26Updated 4 months ago
- A framework for financial systemic risk valuation and analysis.☆174Updated 2 years ago
- This repository stores the source code for the Python and R projects used to access the database.☆11Updated 3 months ago
- ☆63Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- ☆23Updated 8 years ago
- Code from "Introduction to Python for Econometrics, Statistics and Data Analysis" by Kevin Sheppard☆80Updated 3 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆18Updated last year
- ☆108Updated 3 years ago