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UCD Graduate Business School
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FamaFrench2015FF5
FamaFrench2015FF5 PublicReplication of the 5 Fama-French factors as constructed in their 2015 paper.
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DanielTitman1997
DanielTitman1997 PublicReplication of the methodology of Daniel and Titman (1997) for constructing pre-formation and constant-weight allocation Fama-French factors.
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FamaFrenchIndustries
FamaFrenchIndustries PublicA function that classifies a company to a Fama-French Industry according to its 4-digit SIC code.
Python 3
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Corwin_Schultz_2012
Corwin_Schultz_2012 PublicPython code for replicating the effective spread estimator of Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The journal of finance, 6…
Python 1
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pycop
pycop PublicForked from maximenc/pycop
Python library for multivariate dependence modeling with Copulas
Python
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