ioannisrpt / FamaFrench2015FF5
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
☆22Updated 2 years ago
Alternatives and similar repositories for FamaFrench2015FF5:
Users that are interested in FamaFrench2015FF5 are comparing it to the libraries listed below
- ☆9Updated 5 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- ☆17Updated 8 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆17Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 6 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆18Updated last year
- ☆22Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- My replication of financial papers.☆19Updated 6 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆14Updated 6 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- ☆23Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆11Updated last year
- Testing trading signals of commodity futures☆16Updated 4 years ago
- empirical asset pricing☆45Updated last year
- Replication of https://ssrn.com/abstract=3984925☆32Updated last year
- This notebook is devoted to exploring some aspects of the Capital Asset Pricing Model (CAPM) using Python☆18Updated 5 years ago
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 years ago
- Example code of simple things one can do with our open-source asset pricing data☆50Updated 7 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago