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1. vfci Public

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

   R 5 2

2. vfciBusinessCycles Public

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

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3. fevdid Public

   R Package to identify structural VAR shocks using maximization of explained forecast error variances. Implemented to target either the time domain or frequency domain.

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4. bsvars Public

   Forked from bsvars/bsvars

   Bayesian Estimation of Structural Vector Autoregressive Models

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5. bsvarTVPs Public

   Forked from bsvars/bsvarTVPs

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

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6. SVAR-MSH-ID Public

   Forked from donotdespair/SVAR-MSH-ID

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

   R