ralphkoijen / demand_asset_pricing
☆12Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for demand_asset_pricing
- Resources for a PhD class module focused on anomalies.☆11Updated 5 months ago
- PhD 403: Empirical Asset Pricing☆23Updated 5 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated 10 months ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆16Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆14Updated 4 years ago
- Materials for the mini-course on deep learning and macro-finance.☆19Updated 4 months ago
- ☆10Updated 4 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆13Updated last year
- ☆23Updated 7 years ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Replication for Common Owner 1980-2017 (https://www.aeaweb.org/articles?id=10.1257/mic.20190389)☆36Updated 2 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 3 months ago
- 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
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆10Updated 5 years ago
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Updated 4 years ago
- Source code for Bazdresch, Kahn, Whited "Estimating and Testing Dynamic Corporate Finance Models"☆22Updated 7 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆22Updated last year
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 4 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 6 years ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Example code to create firm level risk in Hassan et al. (2020)☆47Updated 2 years ago
- Dynamic Programming and Computational Economics☆10Updated last year
- ☆12Updated last year
- ☆18Updated 5 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆43Updated 2 weeks ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆32Updated 3 years ago
- Implementation of basic macro models in various programming languages☆9Updated 2 years ago
- Solving and Simulating Several Heterogeneous Agents Borrowing and Savings Models☆21Updated 5 years ago
- Data matching for corporate governance research☆14Updated 6 months ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Updated last year