as4456 / Leo_Krippner_SSR
Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
☆14Updated 4 years ago
Alternatives and similar repositories for Leo_Krippner_SSR:
Users that are interested in Leo_Krippner_SSR are comparing it to the libraries listed below
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- ☆18Updated 6 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 7 years ago
- ☆37Updated 10 months ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Calibrate, estimate and analyze linearized DSGE models.☆34Updated 2 weeks ago
- A curated list of Vector Autoregression resources☆55Updated last year
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆35Updated 4 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated last year
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- A collection of tools for working with DSGE models in python, inspired by the R package gEcon☆29Updated 2 weeks ago
- Jupyter notebooks illustrating solutions to computational macroeconomic problems☆16Updated 3 years ago
- ☆39Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- Macro with Python☆54Updated 3 years ago
- ☆20Updated 3 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆19Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆23Updated last year
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆32Updated 8 months ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆35Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆15Updated last year
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago