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    12 repositories

    • vfciBusinessCycles

      Public
      Research project exploring the relationship between financial conditions and business cycles.
      R
      •1•0•15•0•Updated Oct 22, 2024Oct 22, 2024

    • vfci

      Public
      Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
      rvolatilityasset-pricingmacroeconomicsvector-autoregressionmonetary-policyheteroskedasticityfcisvarr-lang
      R
      •
      Other
      •3•4•1•1•Updated Sep 9, 2024Sep 9, 2024

    • macro_dynamics

      Public
      R
      •1•0•1•0•Updated Sep 4, 2024Sep 4, 2024

    • fevdid

      Public
      R Package to identify structural VAR shocks using maximization of explained forecast error variances. Implemented to target either the time domain or frequency domain.
      R
      •
      Other
      •1•1•1•0•Updated Jul 24, 2024Jul 24, 2024

    • bcadata

      Public
      Data Package to recreate the data from the paper by Angeletos, Collard, and Dellas, "Business Cycle Anatomy" (2020).
      R
      •
      Other
      •1•0•1•1•Updated Jan 2, 2024Jan 2, 2024

    • bsvarTVPs

      Public
      Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix
      C++
      •
      Other
      •10•0•0•0•Updated Feb 27, 2023Feb 27, 2023

    • bsvars

      Public
      Bayesian Estimation of Structural Vector Autoregressive Models
      C++
      •
      Other
      •8•0•0•0•Updated Feb 17, 2023Feb 17, 2023

    • SVAR-MSH-ID

      Public
      R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
      R
      •
      GNU General Public License v3.0
      •5•0•0•0•Updated Aug 25, 2022Aug 25, 2022

    • SVAR-MSH-ID-1

      Public
      R Codes for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
      R
      •
      GNU General Public License v3.0
      •4•0•0•0•Updated Sep 10, 2021Sep 10, 2021

    • BayesianMS-VAR-GC

      Public
      Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
      R
      •
      GNU General Public License v3.0
      •8•0•0•0•Updated Sep 10, 2021Sep 10, 2021

    • BayesianVectorAutoRegression

      Public
      HTML
      •3•0•0•0•Updated Jan 6, 2021Jan 6, 2021

    • bvarr

      Public
      r package for bayesian VARs
      R
      •12•0•0•0•Updated Dec 12, 2017Dec 12, 2017