romainlafarguette Goto Github PK
Name: Romain Lafarguette
Type: User
Company: GIC - Government of Singapore Investment Corporation
Bio: Quant Strategist SVP at GIC, the sovereign wealth fund of Singapore
Location: Singapore
Romain Lafarguette's Projects
cb-liquidity-forecasting-course
My IMF course on central bank liquidity forecasting
cb-liquidity-forecasting-paper
The IMF working paper on central bank liquidity forecasting with Anastasios Panagiotelis
clusterwrapper
Python wrapper for clustering analysis, including dendogram and 2D projections. Based on scikit
cqsampling
Sampling from a set of conditional quantiles via inverse transform sampling, with quantiles uncrossing correction
densproj
Project densities via quantile coefficients, using matrix projections and resampling (useful in recursive system). For local projections, please use https://github.com/romainlafarguette/quantile-local-projections
fxinterventions
My course with Amine Raboun on FX interventions and quantitative policy rule for FXI
gar
Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models
gar-lecture
My lecture on Growth-at-Risk, the forecasting density model used at the IMF
granulariv
Granular instrumental variables, using Gabaix and Koijen paper (2020)
joypy
Joyplots in Python with matplotlib & pandas :chart_with_upwards_trend:
lafarguette-resume
My LateX resume
plswrapper
Python wrapper to run projection on latent structures, also called partial least squares
quantileproj
Quantile Local Projections
quantilespacing
Python implementation of the Quantiles Spacing paper of Schmidt and Zhu (2016)
r-libraries-liquidity-forecasting
Set of R libraries to recreate the same environment as used by the liquidity forecasting infrastructure of the IMF
robustdensity
Estimate a Conditional Skew Normal using robust estimators (Theil-Sen and Firth Logistic Regressions) and an over-parametrized model
romain_utils
A bunch of Python scripts I often use
romainlafarguette.github.io
Personal Github webpage of Romain Lafarguette, International Monetary Fund.
tips
Tips for Python, R, Markdown, Orgmode, etc.
varfxi
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
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