romainlafarguette
Quant Strategist SVP at GIC, the sovereign wealth fund of Singapore
GIC - Government of Singapore Investment CorporationSingapore
Pinned Repositories
cb-liquidity-forecasting-course
My IMF course on central bank liquidity forecasting
clusterwrapper
Python wrapper for clustering analysis, including dendogram and 2D projections. Based on scikit
cqsampling
Sampling from a set of conditional quantiles via inverse transform sampling, with quantiles uncrossing correction
densproj
Project densities via quantile coefficients, using matrix projections and resampling (useful in recursive system). For local projections, please use https://github.com/romainlafarguette/quantile-local-projections
gar
Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models
gar-lecture
My lecture on Growth-at-Risk, the forecasting density model used at the IMF
granulariv
Granular instrumental variables, using Gabaix and Koijen paper (2020)
plswrapper
Python wrapper to run projection on latent structures, also called partial least squares
quantileproj
Quantile Local Projections
varfxi
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
romainlafarguette's Repositories
romainlafarguette/granulariv
Granular instrumental variables, using Gabaix and Koijen paper (2020)
romainlafarguette/quantileproj
Quantile Local Projections
romainlafarguette/gar
Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models
romainlafarguette/varfxi
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
romainlafarguette/clusterwrapper
Python wrapper for clustering analysis, including dendogram and 2D projections. Based on scikit
romainlafarguette/cb-liquidity-forecasting-course
My IMF course on central bank liquidity forecasting
romainlafarguette/densproj
Project densities via quantile coefficients, using matrix projections and resampling (useful in recursive system). For local projections, please use https://github.com/romainlafarguette/quantile-local-projections
romainlafarguette/gar-lecture
My lecture on Growth-at-Risk, the forecasting density model used at the IMF
romainlafarguette/romain_utils
A bunch of Python scripts I often use
romainlafarguette/cqsampling
Sampling from a set of conditional quantiles via inverse transform sampling, with quantiles uncrossing correction
romainlafarguette/plswrapper
Python wrapper to run projection on latent structures, also called partial least squares
romainlafarguette/cb-liquidity-forecasting-paper
The IMF working paper on central bank liquidity forecasting with Anastasios Panagiotelis
romainlafarguette/fxinterventions
My course with Amine Raboun on FX interventions and quantitative policy rule for FXI
romainlafarguette/joypy
Joyplots in Python with matplotlib & pandas :chart_with_upwards_trend:
romainlafarguette/lafarguette-resume
My LateX resume
romainlafarguette/quantilespacing
Python implementation of the Quantiles Spacing paper of Schmidt and Zhu (2016)
romainlafarguette/r-libraries-liquidity-forecasting
Set of R libraries to recreate the same environment as used by the liquidity forecasting infrastructure of the IMF
romainlafarguette/robustdensity
Estimate a Conditional Skew Normal using robust estimators (Theil-Sen and Firth Logistic Regressions) and an over-parametrized model
romainlafarguette/romainlafarguette.github.io
Personal Github webpage of Romain Lafarguette, International Monetary Fund.
romainlafarguette/tips
Tips for Python, R, Markdown, Orgmode, etc.