ioannisrpt / portsort
A package to sort stocks into portfolios and calculate weighted-average returns.
☆16Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for portsort
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆19Updated 2 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated 11 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆28Updated last year
- Financial research data services for academics.☆77Updated 2 months ago
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆12Updated 4 years ago
- ☆64Updated last year
- ☆23Updated 7 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆15Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- ☆23Updated 11 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- Empirical Data and Some Simulation Codes☆98Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆35Updated 6 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
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Equity return and characteristics of China A-Share market☆13Updated 11 months ago
- ☆13Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 2 months ago
- Python modules for time-series analysis and empirical asset pricing.☆15Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆32Updated 2 years ago