velikov-mihail / AssayingAnomalies
MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
☆37Updated 2 years ago
Alternatives and similar repositories for AssayingAnomalies:
Users that are interested in AssayingAnomalies are comparing it to the libraries listed below
- qmoms package to compute option-implied moments from surface data☆16Updated 11 months ago
- Code to get data from WRDS to PostgreSQL☆46Updated 5 months ago
- Resources for a PhD class module focused on anomalies.☆15Updated 10 months ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Code used in Novy-Marx and Velikov (2024), AI-Powered (Finance) Scholarship☆51Updated 3 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆49Updated 6 months ago
- ☆23Updated 7 years ago
- A collection of macroeconomic models with heterogenous agents written in python and matlab by me.☆90Updated 10 months ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- ☆19Updated last year
- Materials for the mini-course on deep learning and macro-finance.☆21Updated 9 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- US equity (portfolio) characteristics, the main file is in SAS.☆19Updated last year
- ☆15Updated 4 years ago
- 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
- Replication of momentum strategy☆18Updated 2 years ago
- ☆102Updated 3 years ago
- Example code to create firm level risk in Hassan et al. (2020)☆51Updated 2 years ago
- This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due…☆34Updated 5 months ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆102Updated 3 weeks ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- ☆11Updated last year
- Course materials for ECON526 MA Quantitative Economics; computational econ and data science with a focus on causal inference☆21Updated 4 months ago
- ☆25Updated 2 months ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 9 months ago
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 5 years ago
- A package to simulate, filter, and estimate DSGE models with occasionally binding constraints☆59Updated 2 months ago