eveningdong / Fama-French-Model
New Fama-French Model Validation
☆6Updated 2 years ago
Alternatives and similar repositories for Fama-French-Model:
Users that are interested in Fama-French-Model are comparing it to the libraries listed below
- Fama French 3 Factor Model☆40Updated 9 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- 多因子模型相关☆21Updated 3 years ago
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆21Updated 6 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆12Updated this week
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- 一些研报的复现☆12Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- ☆9Updated 4 years ago
- ☆16Updated 4 years ago
- Risk Parity and Factors Model on multi asseet management☆21Updated 3 years ago
- 量化FOF框架☆12Updated 5 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- 量化研究-多因子模型☆19Updated last year
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Q-quant和因子投资实证汇总☆19Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- My replication of financial papers.☆18Updated 6 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆25Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 9 months ago