SnP500:
https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/indexes_a/sp500/sp500.cfm?navId=125
List SnP 500:
https://wrds-web.wharton.upenn.edu/wrds/ds/compd/index/constituents.cfm?navId=83
Prices:
https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/stock_a/dsf.cfm?navId=128
Fama-French Factors - Daily Frequency:
https://wrds-web.wharton.upenn.edu/wrds/ds/famafrench/factors_d.cfm?navId=203
Beta Factors:
https://wrds-web.wharton.upenn.edu/wrds/ds/wrdsbeta/index.cfm?navId=428
http://www.chloe-hsu.com/html/multivariate_rolling_regression
https://pdfs.semanticscholar.org/7385/f58c4f821e67f3e36a6213f0ddbc0f2cb1db.pdf
https://brage.bibsys.no/xmlui/bitstream/handle/11250/2407462/masterthesis.PDF?sequence=1
- Scaffold: Please check the
forecasts
folders for details. The interface ismain.py
- Analysis: Please check the
forecasts/analysis
folder for details. Each analysis is a python notebook - Data: Intermediate Data is stored at https://drive.google.com/open?id=1LE-HJXRAsuAgMgqL7iXY6S9rNIcSyqDQ