mauep2025 / Global-Oil-MarketLinks
This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, …
☆27Updated 2 years ago
Alternatives and similar repositories for Global-Oil-Market
Users that are interested in Global-Oil-Market are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago
- ☆23Updated 8 years ago
- ☆101Updated 7 months ago
- A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…☆18Updated last year
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- TENET: Tail-Event driven NETwork Risk☆47Updated 8 months ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- R Code CoVaR with Copula☆76Updated last year
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 7 years ago
- Materials for the mini-course on deep learning and macro-finance.☆22Updated last year
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- R package for GARCH-MIDAS☆34Updated 5 years ago
- RBC Model Jupyter Notebook☆10Updated 6 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆13Updated 5 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated 11 months ago
- Modeling Macroeconomics with Deep Reinforcement Learning☆12Updated 6 years ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆38Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- Replication Toolbox of the Macroeconomic Model Data Base (MMB)☆13Updated 8 months ago
- 2018-2019 Quantitative Macroeconomics, UAB☆76Updated 6 years ago