bashtage / mfe-toolboxLinks
☆109Updated 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:
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Nowcasting☆223Updated 6 years ago
- ☆23Updated 8 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 to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- Replication of key GARCH model papers☆34Updated 9 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models☆52Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- ☆75Updated 2 years ago
- Resources for a PhD class module focused on anomalies.☆17Updated last year
- Calculate U.S. equity (portfolio) characteristics☆98Updated last year
- ☆14Updated 9 years ago
- 2018-2019 Quantitative Macroeconomics, UAB☆76Updated 6 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆18Updated 5 years ago
- ☆101Updated 8 months ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆332Updated 7 months ago
- Course Website on Macroeconomic Analysis with Machine Learning and Big Data☆129Updated last year
- ☆19Updated 6 years ago
- [IrisToolbox] for Macroeconomic Modeling☆94Updated last year
- A framework for financial systemic risk valuation and analysis.☆176Updated 2 years ago
- Spectral decomposition of spillover measures☆109Updated 2 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago