Contact for quant and systematic macro consulting assignments
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Columbia University
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Leo_Krippner_SSR
Leo_Krippner_SSR PublicContains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
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Hpfilter_optimal_lambda
Hpfilter_optimal_lambda PublicCode for determining optimal value of lambda to be used in Hodrick Prescott filter using cross-validation method
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William-Laubach-R-star
William-Laubach-R-star PublicOutput is currently not correct due to some Kalman filter issues in Python. Needs to be corrected.
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Potential_Output
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Kalman_Filter_Trend
Kalman_Filter_Trend PublicImplementation of Model 4 explained in the paper "Trend without Hiccups"
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