mauep2025 / Global-Oil-Market
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, …
☆25Updated last year
Alternatives and similar repositories for Global-Oil-Market:
Users that are interested in Global-Oil-Market are comparing it to the libraries listed below
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- ☆23Updated 7 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
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated this week
- Systemic Risk - CoVaR☆13Updated 4 years ago
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 5 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆19Updated 5 years ago
- Materials for the mini-course on deep learning and macro-finance.☆20Updated 8 months ago
- TENET: Tail-Event driven NETwork Risk☆40Updated last month
- ☆19Updated 2 years ago
- Bayesian Estimation of a TVP-VAR Model☆16Updated 6 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 9 months ago
- R package for GARCH-MIDAS☆32Updated 5 years ago
- A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…☆17Updated 6 months ago
- ☆87Updated 3 weeks 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
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆31Updated 5 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 6 years ago
- Replication Files for "Evaluating Policy Counterfactuals: A VAR-Plus Approach"☆13Updated 6 months ago
- ☆18Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago