Influence functions for fun and profit: notes on using influence functions and their application to estimating covariance matrices. Includes a general treatment and specific examples for how to derive influence functions for a wide variety of estimators.


OFR Short-term Funding Monitor: data provided by the OFR covering a broad variety of short-term funding markets related topics, including the OFR's U.S. Repo Markets Data Release.


PyELike: Efficient, object oriented python code for flexible generalized empirical likelihood and generalized method of moments estimators.

Estimating and testing dynamic corporate finance models: C++ and python code for Bazdresch, Kahn, Whited (2018). Includes optimized and modular code for value function iteration and SMM estimation on parallel systems. Easily modified to solve and estimate a wide variety of corporate finance and macro models.

For more, check out my github page.