Ledoit-Wolf covariance matrix estimator of stock returns

• UpdatedAug 23, 2019
• Python

Measuring the Market Risk Premium

• UpdatedJun 6, 2022
• R

A small utility built with R to graph the historical returns of a portfolio of stocks, ETFs or other securities

• UpdatedDec 22, 2020
• R

The article evaluates the effect of the enforcement activities of the Federal Antimonopoly Service of Russia on the market value of companies in the oil industry [reputational costs] (In Russian)

• UpdatedOct 20, 2023
• HTML

Replication, Abstract: The paper Stock Returns over the FOMC Cycle (Cieslak et al., 2019) finds a pattern in financial markets that suggests that stock market excess returns in the last 23 years were entirely earned in even weeks (0, 2, 4, and 6) starting from the last FOMC meeting.

• UpdatedDec 11, 2023
• TeX

Predictive analysis and GARCH model on stock returns. I demonstrate how to use the PACF (partial autocorrelation function) and ACF (autocorrelation function) on a non stationary time series.

• UpdatedMay 18, 2023
• R

BEML and Glaxo stock risk & returns

• UpdatedOct 27, 2023

Analyzing Stock Returns, Caffeine Effects, Cold Incidence, and Job Satisfaction

• UpdatedMay 15, 2023
• R

• UpdatedJan 15, 2025
• Jupyter Notebook

The code lets you get a QQ plot for Daily returns of IBM observations from Jan 1 2005 till Dec 31 2019

• UpdatedMar 20, 2021
• MATLAB

Returns on SIP

• UpdatedDec 9, 2022
• Python

This projects aims to implement a Markov Switching Model for stock returns using the Bayesian framework.

• UpdatedMar 9, 2025
• Jupyter Notebook