dcuoliveira / fgv-empirical-asset-pricingView external linksLinks
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.
☆12Apr 11, 2023Updated 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:
- 'Portfolio Analysis, methods for portfolio optimization'☆24Jan 26, 2021Updated 5 years ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆10Apr 8, 2022Updated 3 years ago
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago
- A repository for portfolio allocation based on embedding data representation☆12Jan 27, 2025Updated last year
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 2 years ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Apr 19, 2021Updated 4 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Apr 12, 2023Updated 2 years ago
- ☆15Sep 5, 2020Updated 5 years ago
- This repository replicates the figures from the 3rd edition of the book "Recursive Macroeconomic Theory" by Lars Ljungqvist and Thomas J.…☆12Feb 9, 2016Updated 10 years ago
- Dynare Summer School 2018 material☆15Jun 22, 2018Updated 7 years ago
- This course will provide a basic, yet rigorous, introduction to Time Series Econometrics. This course is intended for upper-level undergr…☆18May 9, 2019Updated 6 years ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Dec 16, 2015Updated 10 years ago
- Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation un…☆15May 1, 2017Updated 8 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Oct 16, 2019Updated 6 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Mar 1, 2020Updated 5 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Dec 21, 2023Updated 2 years ago
- ☆16Oct 20, 2021Updated 4 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆18Jul 24, 2022Updated 3 years ago
- Estimation of tractable heterogeneous-agent New-Keynesian model.☆17Jun 4, 2020Updated 5 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆20Sep 2, 2018Updated 7 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆19Updated this week
- Code for Bayesian estimation of a heterogeneous agent DSGE model (MATLAB) using the Reiter (2009) solution method.☆14Aug 10, 2017Updated 8 years ago
- Analysis of the household consumption response to the Covid-19 crisis and the CAREs Act response☆20Jan 17, 2026Updated last month
- Overlapping Generations Heterogeneous Agents (OLGHA) Model☆23Aug 12, 2022Updated 3 years ago
- Solving and Simulating Several Heterogeneous Agents Borrowing and Savings Models☆23Sep 25, 2019Updated 6 years ago
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆21Jul 12, 2020Updated 5 years ago
- ☆24Aug 19, 2017Updated 8 years ago
- Python Econometrics toolbox, requires NumPy☆28Oct 19, 2012Updated 13 years ago
- This code produces the results of the paper: Christian Bayer, Ralph Luetticke (2020). Solving heterogeneous agent models in discrete time…☆28Aug 14, 2020Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆31Mar 4, 2022Updated 3 years ago
- Code and teaching material for "Modeling with Julia -- with an Application to the New York Fed DSGE", a workshop at CEF 2017☆24Sep 12, 2022Updated 3 years ago
- Second coursework & case from Sber Data Science competition. Links to scientific papers to which I will refer will be here.☆13Nov 12, 2021Updated 4 years ago
- ☆28Mar 20, 2021Updated 4 years ago
- Course materials for Zurich Initiative for Computational Economics (ZICE) 2014☆32Feb 5, 2014Updated 12 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Mar 4, 2021Updated 4 years ago
- A repository for machine learning based investment strategies☆28Nov 11, 2019Updated 6 years ago
- A dataset of financial news is used to fine-tune BERT in order to extract investment opportunities.☆27May 10, 2021Updated 4 years ago
- Stata scripts running recent staggered DID estimators on simulated dataset☆35Aug 6, 2021Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆31Feb 10, 2019Updated 7 years ago