compfinezbook / ECON424Links
Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - data science applied to finance. The course covers computer programming and data analysis in R, econometrics (statistical analysis), financial economics, microeconomics, mathematical optimization, and probabilit…
☆9Updated 3 years ago
Alternatives and similar repositories for ECON424
Users that are interested in ECON424 are comparing it to the libraries listed below
Sorting:
- ☆23Updated 7 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆17Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 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 …☆26Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆46Updated last year
- ☆27Updated last month
- Replication of key GARCH model papers☆35Updated 9 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- ☆19Updated 3 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆50Updated 8 months ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 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…☆36Updated 4 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 5 years ago
- A curated list of Vector Autoregression resources☆56Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 3 weeks ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆38Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020☆9Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago