whyecofiliter / EAP
empirical asset pricing
☆45Updated last year
Alternatives and similar repositories for EAP:
Users that are interested in EAP are comparing it to the libraries listed below
- Equity return and characteristics of China A-Share market☆17Updated last year
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- ☆71Updated 2 years ago
- DCC GARCH modeling in Python☆91Updated 5 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆85Updated 9 months ago
- Machine Learning-Driven Quantamental Investing☆130Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆26Updated 2 years ago
- Machine learning methods for identifing investment factors☆19Updated 3 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆59Updated 8 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆128Updated 3 years ago
- Implementation of 5-factor Fama French Model☆123Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆38Updated last year
- convertible bond pricing project based on Monte Carlo simulation☆11Updated last year
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆33Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆87Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- Implementation of (Re-)Imag(in)ing Price Trends☆68Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆33Updated last year
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆62Updated 4 years ago
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆41Updated last year
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆17Updated 8 months ago