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var-conditional_forecast-forcasting-the-canadian-economy

This is restudy of my class assignment on forecasting Canadian economy

var-constant-correlation

The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.

var-covid_eco_epi_var

var-dcc-garch

var-deeptvar-data-code

Deep Learning for a Time-Varying VAR Model with Extension to Integrated VAR

var-dfm-var-with-different-ccgarch-specifications

R script for the master's thesis "On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications"

var-fevar

Estimation and analysis of fixed effects vector autoregressive models

var-financial_data_analysis_with_r

Using GARCH and GJR-GARCH model to estimate VaR andnExpected Shortfall

var-forecast-ts_escudero

Curso de series de tiempo de WSE

var-forecasting

Forecasting UK CPI, GDP and government bond yield quarterly data using univariate and multivariate time-series models

var-garch-copula-evt-var

GARCH-Copula + EVT for VaR estimate

var-garch-midas-volatility-estimation

Estimating the impact of Covid-19 pandemic on volatility and Value-at-Risk of energy commodities markets through GARCH models on mixed-frequency data

var-garchvar

VaR prediction with GARCH families

var-globalfactormodels

Tensor Methods applied to the Global VAR dataset

var-hdeconometrics

Set of R functions for high-dimensional econometrics

var-higher_moments

Application and simulation study of identification from non-Gaussianity.

var-historical-simulation

Historical simulation for estimating the Value-at-Risk of a portfolio

var-historical_decomposition-exchange_rates_and_trade

Project to investigate the impact of exchange rate fluctuations on UK trade flows.

var-htvpoil

Estimate a TVP_VAR for oil prices.

var-illusionofillusion

Senior Thesis Code "The Illusion of the Illusion of Sparsity: an Exercise in Prior Sensitivity"

var-info-policy-surprises

Here you can download the high-frequency instruments for monetary policy and information of Miranda-Agrippino and Ricco (2021), extended to 2015:12.

var-kse-thesis-tvp-var

Code to replicate main results from my master's thesis on monetary policy transmission in Ukraine

var-lasso-macro-forecast

Replication material for 'Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions'.

var-ltvar

R code for Bayesian Estimation of Latent Threshold VAR

var-macroassignment3

Macroeconometrics Assignment 3

var-markovswitchingbgvar

Inflation transmission diagnostics via a Bayesian graph vector autoregressive model with Markov switching

var-mf-var-julia

Repository for Julia code to implement/replicate several mixed-frequency VAR models

var-mfvar-python

var-midasvares

var-models

VAR (vector auto-reggresion) model for the data of UK and Germany trading.