Alternatives and similar repositories for FamaFrench2015FF5

Users that are interested in FamaFrench2015FF5 are comparing it to the libraries listed below

• Wentworthliu123 / Fama_French_Selfstudy
  ☆9Updated 5 years ago
• Feng-CityUHK / EquityCharacteristicsSAS
  US equity (portfolio) characteristics, the main file is in SAS.
  ☆20Updated last year
• ioannisrpt / portsort
  A package to sort stocks into portfolios and calculate weighted-average returns.
  ☆17Updated 3 years ago
• mk0417 / Empirical-finance-data-tools
  Codes to clean data and construct variables for empirical finance.
  ☆11Updated 3 years ago
• fkempf92 / FactorData
  Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
  ☆34Updated 2 years ago
• yye9701 / KR_example
  ☆22Updated 3 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆21Updated 7 years ago
• cagdemir / firm-characteristics-calculation
  Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
  ☆14Updated 5 years ago
• christianjauregui / famafrench
  Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…
  ☆39Updated 3 weeks ago
• usydnlp / FedNLP
  This repository contains dataset for paper FedNLP: An interpretable NLP System to Decode Federal Reserve Communications, published in SIG…
  ☆13Updated last year
• anthonyng2 / Time-Series-Momentum
  ☆19Updated 8 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 6 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• mk0417 / momentum
  Replication of momentum strategy
  ☆18Updated 3 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• mgao6767 / frds
  Financial research data services for academics.
  ☆95Updated 6 months ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆30Updated 3 years ago
• Quantactix / TreeFactor
  ☆27Updated last year
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 5 years ago
• iankhr / fintools
  The code implements FamaMacbeth regression as in Fama & MacBeth (1973)
  ☆20Updated 5 years ago
• wangy8989 / Active-Portfolio-Management
  factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition
  ☆30Updated 6 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• asaficontact / FX_forecasting_model
  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
  ☆33Updated 2 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆93Updated 11 months ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• miabrahams / PricingTermStructure
  Pricing the Term Structure with Linear Regressions
  ☆40Updated 7 years ago
• MajesticKhan / Nowcasting-Python
  Python Nowcasting
  ☆127Updated 4 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 4 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆20Updated 2 years ago