dongxy1014 / Bond-Risk-PremiaLinks
Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
☆12Updated 2 years ago
Alternatives and similar repositories for Bond-Risk-Premia
Users that are interested in Bond-Risk-Premia are comparing it to the libraries listed below
Sorting:
- Imputing missing stock anomalies data with EM implementation☆15Updated last year
- ☆12Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Q-quant和因子投资实证汇总☆23Updated 4 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Updated 5 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆19Updated 9 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- ☆15Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆44Updated 4 years ago
- ☆78Updated 3 years ago
- ☆28Updated 4 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆18Updated last year
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆19Updated 5 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- ☆24Updated 8 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆12Updated 7 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- Fama-French models, idiosyncratic volatility, event study☆34Updated 3 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆41Updated last week
- Replication of momentum strategy☆19Updated 3 years ago
- Financial Machine Learning Repository☆11Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago