Giter VIP home page Giter VIP logo

badwizard's Projects

fecon235 icon fecon235

Computational data tools for financial economics. Keywords: IPython notebook pandas statistics GDP inflation CPI PCE Fed FRED Ferbus unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency Eurozone euro yen FX USD EUR JPY XAU gold Brent WTI oil Holt-Winters time-series forecasting econometrics

intro_programming icon intro_programming

A set of IPython notebooks and learning resources for an Introduction to Programming class, focusing on Python.

ml-sghmc icon ml-sghmc

Experiment code for Stochastic Gradient Hamiltonian Monte Carlo

termstrc icon termstrc

The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.