bank-of-england / InterpretableMLWorkflow
☆13Updated 3 months ago
Related projects: ⓘ
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆35Updated 10 months ago
- Deep Dynamic Factor Models☆15Updated 6 months ago
- Python implementation of the midasml approach☆19Updated last month
- LSTM neural networks for nowcasting economic data.☆56Updated 4 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆18Updated 3 years 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☆21Updated 6 months ago
- ☆35Updated 4 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆22Updated 2 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆16Updated 8 months ago
- ☆37Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆12Updated 4 years ago
- Publicly available Python and Gretl code from posts at my blog Prognostikon☆8Updated last week
- ☆17Updated last month
- 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
- Regularized estimation of high-dimensional FAVAR models☆8Updated 7 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆31Updated last month
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- ☆28Updated 3 years ago
- Codebase for FOMC-NLP, accepted at ACL 2023 (main)☆42Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆15Updated 3 months ago
- ☆19Updated 2 years ago
- ☆60Updated last year
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆14Updated 3 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆13Updated 2 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆9Updated last year
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆12Updated 4 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆26Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆26Updated 3 years ago