VFCI

United States of America

Pinned Repositories

BayesianMS-VAR-GC
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
Language:R0 0 00
bcadata
Data Package to recreate the data from the paper by Angeletos, Collard, and Dellas, "Business Cycle Anatomy" (2020).
Language:R0 1 131
bsvars
Bayesian Estimation of Structural Vector Autoregressive Models
Language:C++0 0 00
bsvarTVPs
Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix
Language:C++00
bvarr
r package for bayesian VARs
Language:R0 0 00
fevdid
R Package to identify structural VAR shocks using maximization of explained forecast error variances. Implemented to target either the time domain or frequency domain.
Language:R1 2 61
macro_dynamics
Language:R0 4 71
SVAR-MSH-ID
R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Language:R00
SVAR-MSH-ID-1
R Codes for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Language:R0 0 00
vfci
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Language:R3 2 23

VFCI/vfci
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Language:R3 2 23
VFCI/fevdid
R Package to identify structural VAR shocks using maximization of explained forecast error variances. Implemented to target either the time domain or frequency domain.
Language:R1 2 61
VFCI/vfciBusinessCycles
Research project exploring the relationship between financial conditions and business cycles.
Language:R1 2 441
VFCI/BayesianMS-VAR-GC
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
Language:R0 0 00
VFCI/BayesianVectorAutoRegression
Language:HTML0 0 00
VFCI/bcadata
Data Package to recreate the data from the paper by Angeletos, Collard, and Dellas, "Business Cycle Anatomy" (2020).
Language:R0 1 131
VFCI/bsvars
Bayesian Estimation of Structural Vector Autoregressive Models
Language:C++0 0 00
VFCI/bsvarTVPs
Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix
Language:C++00
VFCI/bvarr
r package for bayesian VARs
Language:R0 0 00
VFCI/macro_dynamics
Language:R0 4 71
VFCI/SVAR-MSH-ID
R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Language:R00
VFCI/SVAR-MSH-ID-1
R Codes for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Language:R0 0 00