iankhr / fintoolsLinks
The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
☆20Updated 5 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☆36Updated 2 years ago
- empirical asset pricing☆45Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whethe…☆13Updated 6 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆35Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆64Updated 7 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆91Updated 10 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 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…☆24Updated 3 years ago
- Implementation of 5-factor Fama French Model☆126Updated 4 years ago
- ☆70Updated 2 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- DCC GARCH modeling in Python☆94Updated 5 years ago
- Empirical Data and Some Simulation Codes☆102Updated 6 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆23Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- ☆33Updated 4 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☆41Updated last year
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago