msperlin / MS_Regress-MatlabLinks
Repository for MS_Regress, a matlab package for estimation and simulation of markov regime switching models
☆52Updated 4 years ago
Alternatives and similar repositories for MS_Regress-Matlab
Users that are interested in MS_Regress-Matlab are comparing it to the libraries listed below
Sorting:
- ☆106Updated 3 years ago
- ☆40Updated 6 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 2 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- R Code CoVaR with Copula☆76Updated 10 months ago
- ☆19Updated 6 years ago
- A curated list of Vector Autoregression resources☆57Updated 2 years ago
- ☆14Updated 9 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆34Updated last year
- 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
- PhD 403: Empirical Asset Pricing☆27Updated 6 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
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 7 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
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆119Updated 7 months ago
- Empirical Finance Course (PhD, Julia code)☆36Updated 8 months ago
- Financial Econometrics (MSc, Julia code)☆66Updated last week
- ☆97Updated 5 months ago
- Jupyter notebooks authored by Richard Evans☆47Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- ☆15Updated 4 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…☆18Updated 11 months ago
- ☆23Updated 7 years ago
- Spectral decomposition of spillover measures☆106Updated 2 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Updated 2 years ago
- The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Pa…☆24Updated 6 months ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago