xiubooth / ML_CodesLinks
Empirical Data and Some Simulation Codes
☆105Updated 6 years ago
Alternatives and similar repositories for ML_Codes
Users that are interested in ML_Codes are comparing it to the libraries listed below
Sorting:
- Calculate U.S. equity (portfolio) characteristics☆98Updated last year
- ☆77Updated 2 years ago
- empirical asset pricing☆48Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆338Updated 8 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆140Updated 4 years ago
- ☆109Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Python Nowcasting☆131Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- Instrumented Principal Components Analysis☆243Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 6 years ago
- Equity return and characteristics of China A-Share market☆22Updated last year
- Financial research data services for academics.☆98Updated 2 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆45Updated last year
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago
- ☆52Updated 3 weeks ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆35Updated 2 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- Nowcasting☆224Updated 6 years ago