iankhr / fintools
The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
☆18Updated 4 years ago
Related projects: ⓘ
- 一个基于中国市场的Fama-French五因子实证研究☆31Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆11Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆62Updated 6 years ago
- Implementation of 5-factor Fama French Model☆109Updated 3 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆23Updated 3 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- DCC GARCH modeling in Python☆84Updated 4 years ago
- empirical asset pricing☆37Updated 11 months ago
- Multivariate DCC-GARCH model☆14Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆33Updated 3 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆43Updated 4 years ago
- Equity return and characteristics of China A-Share market☆13Updated 8 months ago
- BSc Thesis on the Garch-Midas model☆19Updated 2 years ago
- Machine Learning for Finance: 2019-20 Module 3 (Spring 2020)☆65Updated 4 months ago
- three stochastic volatility model: Heston, SABR, SVI☆80Updated 5 years ago
- This is a program for strategic asset allocation research for negative investment FOF.☆12Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆21Updated 8 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 6 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- 量化研究-多因子模型☆17Updated last year
- 多因子模型相关☆22Updated 3 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☆38Updated last year
- Machine learning methods for identifing investment factors☆14Updated 2 years ago
- Fama French model on a subset of Canadian Equity data with Python☆44Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 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…☆11Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆20Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆26Updated 3 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 4 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆37Updated 4 years ago