iankhr / fintoolsLinks
The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
☆21Updated 6 years ago
Alternatives and similar repositories for fintools
Users that are interested in fintools are comparing it to the libraries listed below
Sorting:
- 一个基于中国市场的Fama-French五因子实证研究☆40Updated 3 years ago
- Machine Learning-Driven Quantamental Investing☆141Updated 5 years ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆43Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆145Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆71Updated 8 years ago
- empirical asset pricing☆49Updated 2 years ago
- ☆79Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆97Updated 4 years ago
- Barra-Multiple-factor-risk-model☆148Updated 8 years ago
- BSc Thesis on the Garch-Midas model☆29Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Empirical Data and Some Simulation Codes☆109Updated 6 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆76Updated 5 years ago
- Implemented some mathematical processings used in the Barra risk model☆37Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆46Updated last year
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Equity return and characteristics of China A-Share market☆25Updated 2 years ago
- 因子构建、单因子测试☆72Updated 4 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆69Updated 4 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated 2 years ago
- Fama-French models, idiosyncratic volatility, event study☆34Updated 3 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Updated 7 years ago