Skip to content
BranchesTags

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

50 Commits
Bayesian_dynamic_factor_model/.Rproj.user
Bayesian_dynamic_factor_model/.Rproj.user
 
 
Code_Modeling
Code_Modeling
 
 
Code_Preprocessing_and_Cleaning
Code_Preprocessing_and_Cleaning
 
 
Data_CRSP_Annual_Equities_Cleaned
Data_CRSP_Annual_Equities_Cleaned
 
 
Data_CRSP_Annual_Equities_Raw
Data_CRSP_Annual_Equities_Raw
 
 
Data_CRSP_Fama_French_Factors_Cleaned
Data_CRSP_Fama_French_Factors_Cleaned
 
 
Data_CRSP_Fama_French_Factors_Raw
Data_CRSP_Fama_French_Factors_Raw
 
 
Data_FRED_Cleaned
Data_FRED_Cleaned
 
 
Data_FRED_Raw
Data_FRED_Raw
 
 
Data_Panel
Data_Panel
 
 
Literature
Literature
 
 
.gitignore
.gitignore
 
 
Abstract_B_State_State_Model.docx
Abstract_B_State_State_Model.docx
 
 
Bayesian_dynamic_factor_model.Rproj
Bayesian_dynamic_factor_model.Rproj
 
 
LICENSE
LICENSE
 
 
README.md
README.md
 
 
mcmc_test_code.py
mcmc_test_code.py
 
 

Repository files navigation

bayesian_dynamic_factor_model-

About

This analysis develops a Bayesian dynamic state-state factor model to capture and forecast time-varying risk premia in U.S. equity markets, integrating both Fama-French factors and macro-level indicators from Bloomberg. The study builds on the foundational work of Fama and French (1993) and Carhart (1997) by allowing for dynamic factor exposures.

Resources

Readme
MIT license
Activity

Stars

1 star

Watchers

0 watching

Forks

0 forks
Report repository

Releases

Packages

Contributors

Languages