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afe2020

Advanced Financial Econometrics - Trinity Term 2020

appelpy

Applied Econometrics Library for Python

arch

ARCH models in Python

arch-py-feedstock

A conda-smithy repository for arch-py.

bagel

Codes to replicate analysis in Baker & Gelbach (2020)

bambi

BAyesian Model-Building Interface (BAMBI) in Python.

bambi_resources

Educational resources

bda_course_aalto

Bayesian Data Analysis course at Aalto

bda_py_demos

Bayesian Data Analysis demos for Python

bookrepo

crosssection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

data-cleans

This repo has code to do primary data cleaning for Compustat / Crsp from WRDS

dcf

Basic Discounted Cash Flow library written in Python. Automatically fetches relevant financial documents for chosen company and calculates DCF based on specified parameters.

demand_asset_pricing

econpdes.jl

Solve semi-linear parabolic PDEs

fin-ml

financial_metrics_comparisons

Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).

firmlevelrisk

Example code to create firm level risk in Hassan et al. (2020)

fixedeffectmodels.jl

Fast Estimation of Linear Models with IV and High Dimensional Categorical Variables

futuresio-webinars

Supported files and code examples for my futures.io webinars series

glm.jl

Generalized linear models in Julia

globalfactor

infinitesimalgenerators.jl

A set of tools to work with Markov Processes

jason-ash.github.io

Github pages website at www.jtash.com

jfe_did

This repo contains the code to replicate the analyses in Baker, Larcker, Wang.

leastsquaresoptim.jl

Dense and Sparse Least Squares Optimization

linearmodels

Add linear models including instrumental variable and panel data models that are missing from statsmodels.

machine-learning-algorithms-in-tactical-allocation

mfe-toolbox

ml-note