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Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)
A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .
量化投资学习资料整理:学界(行为金融、投资者情绪、常用程序函数,etc);业界(公开资料整理,数据源,回测框架,卖方金工研报及复现,量化研究学习路线,etc)
Variational Bayes linear and logistic regression
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor mod…
Transparent and Efficient Financial Analysis