rolling-regression

Comparaison du CAPM et des modèles Fama-French sur deux portefeuilles sectoriels (régressions, fenêtres glissantes et tests de robustesse sous Python)

Developed a quantitative portfolio strategy using equal-weight allocation across S&P 500 constituents, evaluating rebalancing effects, transaction costs, and factor-driven performance differences versus cap-weighted benchmarks.

Study of the impact of monetary policy and central bank sentiment on gold price dynamics. Built a dataset combining quantitative market variables and qualitative FOMC-statement features, then evaluated predictive power through rolling Ridge regression and GARCH models.

A comprehensive rolling regression analysis notebook using Fama-French factors and industry portfolios. Demonstrates dynamic CAPM estimation, time-varying parameter analysis, structural break detection, and practical applications in finance with Python.

Previsioni degli incassi dei ristoranti, basata sull'analisi della situazione pandemica italiana. Sono stati applicati modelli ARIMA, rolling regression e si è sperimentato l'approccio ai modelli misti.

Multi-factor risk analysis in Python using static and rolling regressions, systematic factor exposures, stress regimes and portfolio risk attribution.

High-performance rolling window statistics for Python and R - rolling regression, correlation matrices and more.

Fama-French 6-factor regression and rolling regression on ETFs