cagdemir / firm-characteristics-calculation
Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
☆13Updated 4 years ago
Alternatives and similar repositories for firm-characteristics-calculation:
Users that are interested in firm-characteristics-calculation are comparing it to the libraries listed below
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 7 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- ☆23Updated 7 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- ☆9Updated 4 years ago
- Replication of momentum strategy☆15Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 years ago
- Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation un…☆14Updated 7 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated last year
- Replication of https://ssrn.com/abstract=3984925☆28Updated 10 months ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- My replication of financial papers.☆18Updated 6 years ago
- ☆39Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆16Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…☆12Updated 3 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…☆10Updated 5 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 5 months ago
- Financial research data services for academics.☆87Updated 3 weeks ago
- ☆15Updated 4 years ago
- ☆16Updated 8 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆17Updated 2 years ago
- ☆25Updated last year
- Advanced Financial Econometrics - Trinity Term 2020☆27Updated 3 years ago