christianjauregui / Python-tutorials_timeseries_for_finance
Python modules for time-series analysis and empirical asset pricing.
☆17Updated 4 years ago
Alternatives and similar repositories for Python-tutorials_timeseries_for_finance:
Users that are interested in Python-tutorials_timeseries_for_finance are comparing it to the libraries listed below
- ☆23Updated 7 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆18Updated last year
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 4 months ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 9 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- ☆69Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Empirical Data and Some Simulation Codes☆102Updated 5 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 …☆25Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 6 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 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
- ☆15Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆35Updated 4 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 10 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆32Updated 2 years ago
- ☆39Updated 6 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆35Updated 5 years ago