dcuoliveira / fgv-empirical-asset-pricingLinks
This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of economics at FGV-SP on 2020 by prof. Marcelo Fernandes.
☆11Updated 2 years ago
Alternatives and similar repositories for fgv-empirical-asset-pricing
Users that are interested in fgv-empirical-asset-pricing are comparing it to the libraries listed below
Sorting:
- ☆14Updated 4 years ago
- Codes to clean data and construct variables for empirical finance.☆11Updated 3 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- ☆9Updated 5 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 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
- ☆21Updated 4 years ago
- ☆23Updated 7 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated last year
- ☆40Updated 6 years ago
- ☆12Updated 10 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆15Updated 4 years ago
- ☆22Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 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
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Updated 3 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
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- ☆27Updated last year
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- Macro with Python☆54Updated 4 years ago