Romain Lafarguette (romainlafarguette)

romainlafarguette

Geek Repo

Company:Abu Dhabi Investment Authority

Location:Abu Dhabi

Home Page:https://romainlafarguette.github.io/

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Romain Lafarguette's repositories

cb-liquidity-forecasting-paper

The IMF working paper on central bank liquidity forecasting with Anastasios Panagiotelis

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cb-liquidity-forecasting-course

My IMF course on central bank liquidity forecasting

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romainlafarguette.github.io

Personal Github webpage of Romain Lafarguette, International Monetary Fund.

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lafarguette-resume

My LateX resume

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romain_utils

A bunch of Python scripts I often use

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joypy

Joyplots in Python with matplotlib & pandas :chart_with_upwards_trend:

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cqsampling

Sampling from a set of conditional quantiles via inverse transform sampling, with quantiles uncrossing correction

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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

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quantileproj

Quantile Local Projections

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varfxi

Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"

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gar-lecture

My lecture on Growth-at-Risk, the forecasting density model used at the IMF

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tips

Tips for Python, R, Markdown, Orgmode, etc.

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plswrapper

Python wrapper to run projection on latent structures, also called partial least squares

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clusterwrapper

Python wrapper for clustering analysis, including dendogram and 2D projections. Based on scikit

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quantilespacing

Python implementation of the Quantiles Spacing paper of Schmidt and Zhu (2016)

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robustdensity

Estimate a Conditional Skew Normal using robust estimators (Theil-Sen and Firth Logistic Regressions) and an over-parametrized model

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gar

Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models

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granulariv

Granular instrumental variables, using Gabaix and Koijen paper (2020)

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r-libraries-liquidity-forecasting

Set of R libraries to recreate the same environment as used by the liquidity forecasting infrastructure of the IMF

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