bashtage / mfe-toolboxLinks
☆108Updated 3 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:
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Nowcasting☆222Updated 5 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 10 months ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆52Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆96Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- ☆73Updated 2 years ago
- ☆23Updated 8 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆41Updated 7 years ago
- A curated list of Vector Autoregression resources☆58Updated 2 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
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- Code to get data from WRDS to PostgreSQL☆50Updated 3 weeks ago
- Replication Code for Identifying Price Informativeness☆13Updated 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
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- ☆51Updated 6 months ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆120Updated 8 months ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- Spectral decomposition of spillover measures☆107Updated 2 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆17Updated 6 months ago
- R Code CoVaR with Copula☆76Updated 11 months ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- A framework for financial systemic risk valuation and analysis.☆174Updated 2 years ago
- ☆100Updated 6 months ago