VFCI's Projects
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
Data Package to recreate the data from the paper by Angeletos, Collard, and Dellas, "Business Cycle Anatomy" (2020).
Bayesian Estimation of Structural Vector Autoregressive Models
Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix
r package for bayesian VARs
R Package to identify structural VAR shocks using maximization of explained forecast error variances. Implemented to target either the time domain or frequency domain.
R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
R Codes for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Research project exploring the relationship between financial conditions and business cycles.