weijie-chen / Notes_For_Macroeconomic_AnalystLinks
These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.
☆30Updated 3 years ago
Alternatives and similar repositories for Notes_For_Macroeconomic_Analyst
Users that are interested in Notes_For_Macroeconomic_Analyst are comparing it to the libraries listed below
Sorting:
- Bayesian Statistics-Econometrics☆88Updated last year
- Replication of momentum strategy☆18Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 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 …☆26Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- A series of lessons on time series analysis with Python☆72Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ☆71Updated 2 years ago
- ☆23Updated 7 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆38Updated 5 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Calculate U.S. equity (portfolio) characteristics☆92Updated 11 months ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Python Nowcasting☆126Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- ☆45Updated 4 months ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Empirical Data and Some Simulation Codes☆102Updated 6 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆32Updated 2 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 8 months ago
- ☆27Updated 2 weeks ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆14Updated 4 years ago
- Code from "Introduction to Python for Econometrics, Statistics and Data Analysis" by Kevin Sheppard☆79Updated 3 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆39Updated last year
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 4 months ago