The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.
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Updated
Mar 29, 2020 - MATLAB
The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.
Vector autoregressive model in Julia
SVAR in R programming language.
Helper functions for `vars` and `lpirfs` packages
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, His…
The folder contains examples and codes developed in the Willy Mutchler lecture's at the Tübingen University . The course deals with estimation of SVAR and DSGE models
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Course on Quantitative Macroeconomics (Master/PhD level)
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