VFCI

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1. vfci vfciPublic

   Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

   R 5 2

2. vfciBusinessCycles vfciBusinessCyclesPublic

   Research project exploring the relationship between financial conditions and business cycles.

   R 1 1

3. fevdid fevdidPublic

   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 1 1

4. bsvars bsvarsPublic

   Forked from bsvars/bsvars

   Bayesian Estimation of Structural Vector Autoregressive Models

   C++

5. bsvarTVPs bsvarTVPsPublic

   Forked from bsvars/bsvarTVPs

   Bayesian estimation of heteroskedastic Structural Vector Autoregressions with Markov-switching structural matrix

   C++

6. SVAR-MSH-ID SVAR-MSH-IDPublic

   Forked from donotdespair/SVAR-MSH-ID

   R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity

   R