lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-Links
A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .
☆18Updated 10 months ago
Alternatives and similar repositories for Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-
Users that are interested in Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package- are comparing it to the libraries listed below
Sorting:
- TVP VAR Workshop☆14Updated 5 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆26Updated last year
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated last month
- ☆96Updated 4 months ago
- ☆14Updated 9 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 5 years ago
- Codes used to estimate a Dynamic Stochastic General Equilibrium (DSGE) model using Bayesian Estimation techniques.☆11Updated 5 years ago
- R Code CoVaR with Copula☆76Updated 9 months ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Bayesian Estimation of a TVP-VAR Model☆18Updated 7 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 7 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- This repo gather R functions to reproduce analyses on the paper: Hecq,A.,Margaritella,L.,Smeekes,S. (2019), "Granger Causality testing in…☆7Updated 5 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- TENET: Tail-Event driven NETwork Risk☆47Updated 5 months ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Updated 7 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆115Updated 7 months ago
- Spectral decomposition of spillover measures☆106Updated 2 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆21Updated 5 years ago
- This is a 12 classes course in Empirical Macroeconomics methods to identify shocks☆24Updated last month
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- Matteo Iacoviello's personal webpage☆11Updated this week
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Updated 4 years ago
- Gradually build up a life-cycle model☆20Updated last month