mk0417 / open-asset-pricing-download
☆36Updated 2 months ago
Alternatives and similar repositories for open-asset-pricing-download
Users that are interested in open-asset-pricing-download are comparing it to the libraries listed below
Sorting:
- Replication of https://ssrn.com/abstract=3984925☆35Updated last year
- Calculate U.S. equity (portfolio) characteristics☆87Updated 9 months ago
- ☆71Updated 2 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- qmoms package to compute option-implied moments from surface data☆17Updated last year
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆45Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆50Updated 6 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 6 months ago
- ☆25Updated 3 months ago
- Covariance Matrix Estimation via Factor Models☆34Updated 6 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated 2 months ago
- ☆47Updated 8 months ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Python Nowcasting☆124Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆69Updated 4 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 11 months ago
- ☆23Updated 7 years ago
- ☆22Updated 3 years ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- Composite Indicators Framework for Business Cycle Analysis☆60Updated 2 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆41Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago