jstriaukas / midasmlpy

Related projects ⓘ

Alternatives and complementary repositories for midasmlpy

• lucabarbaglia / FiGASR
  Lexicon-based Sentiment Analysis for Economic and Financial Applications in R
  ☆21Updated 8 months ago
• Feng-CityUHK / EquityCharacteristicsSAS
  US equity (portfolio) characteristics, the main file is in SAS.
  ☆17Updated 10 months ago
• fkempf92 / FactorData
  Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
  ☆28Updated last year
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆39Updated last year
• mfrdixon / G-Learning-Wealth-Management
  ☆19Updated 2 years ago
• QuantEcon / dynamic_factor_models
  ☆39Updated 5 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆18Updated 3 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆15Updated 4 months ago
• christianjauregui / Python-tutorials_timeseries_for_finance
  Python modules for time-series analysis and empirical asset pricing.
  ☆14Updated 4 years ago
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆22Updated last year
• bashtage / AFE2020
  Advanced Financial Econometrics - Trinity Term 2020
  ☆26Updated 3 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆15Updated 6 months ago
• velikov-mihail / AssayingAnomalies
  MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
  ☆22Updated last year
• OpenSourceAP / CrossSectionDemos
  Example code of simple things one can do with our open-source asset pricing data
  ☆44Updated 2 months ago
• jstriaukas / midasml
  midasml package is dedicated to run predictive high-dimensional mixed data sampling models
  ☆38Updated last year
• monty-se / PINstimation
  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…
  ☆32Updated 2 weeks ago
• bank-of-england / InterpretableMLWorkflow
  ☆13Updated 4 months ago
• Alexander-M-Dickerson / TRACE-corporate-bond-processing
  Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.
  ☆43Updated 2 weeks ago
• MagnusDahlquist / PhD403
  PhD 403: Empirical Asset Pricing
  ☆23Updated 5 years ago
• velikov-mihail / AnomaliesPhDModule
  Resources for a PhD class module focused on anomalies.
  ☆11Updated 5 months ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆63Updated last year
• edavila / identifying_price_informativeness
  Replication Code for Identifying Price Informativeness
  ☆12Updated 3 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆23Updated 8 years ago
• GiulioRossetti94 / PyBondLab
  ☆19Updated last week
• Quantactix / TreeFactor
  ☆23Updated 10 months ago
• michaelewens / MD-A-10-K-data
  MD&A sections from 10-Ks; 2002-2018
  ☆31Updated last year
• bank-of-england / MachineLearningCrisisPrediction
  ☆36Updated 6 months ago
• as4456 / Leo_Krippner_SSR
  Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
  ☆14Updated 3 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago