bashtage / mfe-toolboxLinks
☆109Updated 4 years ago
Alternatives and similar repositories for mfe-toolbox
Users that are interested in mfe-toolbox are comparing it to the libraries listed below
Sorting:
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆45Updated 3 years ago
- Empirical Data and Some Simulation Codes☆110Updated 6 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆54Updated last year
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- Replication of key GARCH model papers☆37Updated 9 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
- Nowcasting☆228Updated 6 years ago
- Example code of simple things one can do with our open-source asset pricing data☆53Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- A curated list of Vector Autoregression resources☆62Updated 2 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Resources for a PhD class module focused on anomalies.☆19Updated last year
- Pricing the Term Structure with Linear Regressions☆42Updated 8 years ago
- ☆80Updated 3 years ago
- ☆24Updated 8 years ago
- An R package for using mixed-frequency GARCH models☆74Updated 3 weeks ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆54Updated 5 years ago
- Python Nowcasting☆132Updated 5 years ago
- Replication of momentum strategy☆20Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆21Updated 11 months ago
- ☆108Updated last month
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆127Updated last year
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- ☆51Updated 3 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- Code to get data from WRDS to PostgreSQL☆51Updated 5 months ago
- Spectral decomposition of spillover measures☆110Updated 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
- ☆41Updated 7 years ago