sakethchityala / Fama-MacBeth
This repo implements a Fama-MacBeth 2-stage regression to estimate factor risk premia, make inference on the risk premia, and test whether a linear factor model can explain a cross-section of portfolio returns.
☆13Updated 5 years ago
Alternatives and similar repositories for Fama-MacBeth:
Users that are interested in Fama-MacBeth are comparing it to the libraries listed below
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- ☆23Updated 7 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆19Updated last year
- ☆12Updated 9 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- ☆9Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ☆89Updated last month
- ☆18Updated 2 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- empirical asset pricing☆45Updated last year
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆49Updated 6 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Python Nowcasting☆124Updated 4 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 11 months ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 6 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago