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  1. vfci vfci Public

    Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

    R 4 3

  2. vfciBusinessCycles vfciBusinessCycles Public

    Research project exploring the relationship between financial conditions and business cycles.

    R 1 1

  3. fevdid 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 1 1

  4. macro_dynamics macro_dynamics Public

    R 1

  5. bsvars bsvars Public

    Forked from bsvars/bsvars

    Bayesian Estimation of Structural Vector Autoregressive Models

    C++

  6. bsvarTVPs bsvarTVPs Public

    Forked from bsvars/bsvarTVPs

    Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix

    C++

Repositories

Showing 10 of 12 repositories
  • vfciBusinessCycles Public

    Research project exploring the relationship between financial conditions and business cycles.

    VFCI/vfciBusinessCycles’s past year of commit activity
    R 1 1 17 0 Updated Nov 20, 2024
  • vfci Public

    Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

    VFCI/vfci’s past year of commit activity
    R 4 3 1 1 Updated Sep 9, 2024
  • macro_dynamics Public
    VFCI/macro_dynamics’s past year of commit activity
    R 0 1 1 0 Updated Sep 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.

    VFCI/fevdid’s past year of commit activity
    R 1 1 1 0 Updated Jul 24, 2024
  • bcadata Public

    Data Package to recreate the data from the paper by Angeletos, Collard, and Dellas, "Business Cycle Anatomy" (2020).

    VFCI/bcadata’s past year of commit activity
    R 0 1 1 1 Updated Jan 2, 2024
  • bsvarTVPs Public Forked from bsvars/bsvarTVPs

    Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix

    VFCI/bsvarTVPs’s past year of commit activity
    C++ 0 11 0 0 Updated Feb 27, 2023
  • bsvars Public Forked from bsvars/bsvars

    Bayesian Estimation of Structural Vector Autoregressive Models

    VFCI/bsvars’s past year of commit activity
    C++ 0 10 0 0 Updated Feb 17, 2023
  • SVAR-MSH-ID Public Forked from donotdespair/SVAR-MSH-ID

    R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity

    VFCI/SVAR-MSH-ID’s past year of commit activity
    R 0 GPL-3.0 5 0 0 Updated Aug 25, 2022
  • SVAR-MSH-ID-1 Public Forked from shizelong1985/SVAR-MSH-ID

    R Codes for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity

    VFCI/SVAR-MSH-ID-1’s past year of commit activity
    R 0 GPL-3.0 4 0 0 Updated Sep 10, 2021
  • BayesianMS-VAR-GC Public Forked from shizelong1985/BayesianMS-VAR-GC

    Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R

    VFCI/BayesianMS-VAR-GC’s past year of commit activity
    R 0 GPL-3.0 8 0 0 Updated Sep 10, 2021
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