fkempf92 / FactorData
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
☆28Updated last year
Related projects ⓘ
Alternatives and complementary repositories for FactorData
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated 11 months ago
- ☆23Updated 7 years ago
- ☆64Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆15Updated 4 years ago
- qmoms package to compute option-implied moments from surface data☆15Updated 6 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆22Updated last year
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 4 months ago
- Resources for a PhD class module focused on anomalies.☆11Updated 5 months ago
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 2 months ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Financial research data services for academics.☆77Updated 2 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- Empirical Data and Some Simulation Codes☆98Updated 5 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 4 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆40Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆43Updated 3 weeks ago
- ☆23Updated 11 months ago
- Code to get data from WRDS to PostgreSQL☆46Updated 3 weeks ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆22Updated last year
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆12Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- ☆101Updated 2 years ago
- An open source library for the extraction of Federal Reserve Data.☆20Updated last year
- ☆13Updated 4 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆32Updated 4 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆16Updated 2 years ago
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 5 years ago