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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