ioannisrpt / portsortLinks
A package to sort stocks into portfolios and calculate weighted-average returns.
☆17Updated 2 years ago
Alternatives and similar repositories for portsort
Users that are interested in portsort are comparing it to the libraries listed below
Sorting:
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 3 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- ☆9Updated 5 years ago
- Financial research data services for academics.☆90Updated 4 months ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆90Updated 9 months ago
- Replication of momentum strategy☆18Updated 2 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆15Updated 4 years ago
- Factor Investing Library☆27Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- ☆23Updated 7 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 9 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.☆64Updated last year
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- ☆70Updated 2 years ago