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scul

R package for the Synthetic Control Using Lasso (SCUL) estimator from Hollingsworth and Wing (2020)

scvc

This is the codes for "Spatially Clustered Varying Coefficient Model".

sdf_private_equity

Stochastic discount factor model for private equity fund level panel data

sdfs_via_autodiff

Computing wealth consumption ratios and stochastic discount factors under smooth recursive utility

sdid

sdid -- Synthetic Difference in Differences for Stata

sdpdmod

Spatial Dynamic Panel Data models

sdpdth

M-estimation for threshold spatial dynamic panel data model

sdpdth-1

:exclamation: This is a read-only mirror of the CRAN R package repository. sdpdth — M-Estimator for Threshold Spatial Dynamic Panel Data Model

seasonality

R package for seasonal adjustment of high frequency or irregular frequency data

semidmfmc

Semi-Dynamic Multi-Factor Multi-Cumulant estimation

semiparametric_adaptive_estimation_of_the_garch_model_using_matlab

Semiparametric adaptive estimation of the GARCH model using Matlab

semiparametricfmm

Repository of data, code and scripts to generate results in Lee, et al. (2018) JASA-ACS paper.

senior_thesis

Paper and code analyzing and com动态因子markov模型paring the performance of a hidden markov model and neural network for predicting economic regime changes.

seq-asset-pricing-models

Autoencoder-Asset-Pricing-Models

sequence-jacobian

Interactive guide to Auclert, Bardóczy, Rognlie, and Straub (2019): "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models".

sequence-jacobian_ecma

Econometrica-version Sequence-Jacobian Method for HANK

sfm_class_2019ws

Project repository for SFM1 class in semester 2019-2020

sh-climate-variability-rice

sharkfin

Simulating Heterogeneous Agents with Finance

short-term_momentum_strategy

Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University of Zurich, FS 2018.

short_courses

Instructional materials for econometrics short courses

shrinkcovmat

Provides nonparametric Steinian shrinkage estimators of the covariance matrix that are suitable in high dimensional settings, that is when the number of variables is larger than the sample size.

shu2019endogenous_public

Replication Code for Shu, Chong 2019 "Endogenous Risk-Exposure and Systemic Instability"

sieve

simfinnet

A set of agent-based and network tools that models, analyses and simulates interbank and other financial networks.

skggm

Scikit-learn compatible estimation of general graphical models

slides-user2022

https://patrick-weiss.github.io/slides-useR2022/

slow-momentum-fast-reversion

This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).

smart-beta-and-portfolio-optimization

Smart Beta and Portfolio Optimization

smart-beta-portfolio-optimization

Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic programming to optimize the weights..