The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
☆22Oct 29, 2019Updated 7 years ago
Alternatives and similar repositories for fintools
Users that are interested in fintools are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whethe…☆14Jun 25, 2019Updated 7 years ago
- Replication and extension of the study by Fama and French (1993) for three-factor asset pricing model☆14Oct 5, 2017Updated 9 years ago
- Fama French 3 Factor Model☆42Feb 3, 2016Updated 10 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Oct 14, 2026Updated 2 weeks ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆18Oct 16, 2019Updated 7 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- 一个基于中国市场的Fama-French五因子实证研究☆41Jul 18, 2022Updated 4 years ago
- ☆14May 15, 2015Updated 11 years ago
- This is a tensorflow-keras implementation of our paper "Attention Based Dynamic Graph Learning Framework for Asset Pricing"☆14Dec 13, 2021Updated 4 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Nov 2, 2022Updated 4 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Mar 18, 2025Updated last year
- Analyse R source code through parsing☆16May 6, 2019Updated 7 years ago
- ☆15Mar 22, 2022Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆15Mar 11, 2019Updated 7 years ago
- Extensive Data Manipulation Exercise using Pandas for Introduction to Data Science in Python by University of Michigan (hosted by Courser…☆13Jul 3, 2023Updated 3 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- ☆10Apr 5, 2022Updated 4 years ago
- DCC GARCH modeling in Python☆111Jan 15, 2020Updated 6 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆12May 17, 2026Updated 5 months ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆19May 21, 2021Updated 5 years ago
- Implement different variants of gradient descent in python using numpy☆11Apr 23, 2019Updated 7 years ago
- ☆18Nov 27, 2020Updated 5 years ago
- A collection of experimentation papers/books/articles that I found useful☆51Nov 17, 2021Updated 4 years ago
- Machine Learning Project using Kaggle dataset☆19Feb 17, 2019Updated 7 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Analyze NASDAQ100 stock data. Used ARIMA + GARCH model and machine learning techniques Naive Bayes and Decision tree to determine if we g…☆10Sep 25, 2023Updated 3 years ago
- 刘海洋《LaTeX入门》配书670案例☆18Sep 17, 2020Updated 6 years ago
- Files for the assignments of the "Managing Big Data with MySQL" Coursera course by Duke University☆15Mar 3, 2019Updated 7 years ago
- r package for bayesian VARs☆23Dec 12, 2017Updated 8 years ago
- 使用Scrapy抓取金十数据网站财经日历及每条财经日历对应的详细信息☆10Jan 12, 2020Updated 6 years ago
- XIRR (using Python) to calculate return on investments done at different time periods which need not be periodic.☆15Oct 3, 2020Updated 6 years ago
- Multi-factor Risk Models of Asset or Portfolio Returns☆10May 4, 2021Updated 5 years ago
- ARMA-GARCH☆110Oct 15, 2023Updated 3 years ago
- 一个使用 PaddleSpeech 和 Streamlit 开发的中文语音识别与转写工具,可以将 MP3 格式的录音文件转换为带标点的文字。☆14Apr 10, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- In this notebook, we will create an AI and time serie driven forecasting engine based on a set of 5 AI models and 5 time series models an…☆14Jun 12, 2021Updated 5 years ago
- Collection of programs for financial mathematics and statistics☆11Jan 20, 2020Updated 6 years ago
- An R package to estimate the effect of interventions on univariate time series using ARIMA models☆25May 14, 2024Updated 2 years ago
- GitHub API Data Gatherer, Supports multi-token rotation, deep fetching, field filtering, and linked requests. Built as a proxy to the off…☆14Jan 5, 2024Updated 2 years ago
- GPU-Accelerated Deep Learning for Time Series using Modeltime GluonTS (Learning Lab 53). Event sponsors: Saturn Cloud, NVIDIA, & Business…☆25Apr 1, 2021Updated 5 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- Various statistical methods / Различные статистические методы☆11Dec 9, 2023Updated 2 years ago