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var_senttvar

var_series_temporelles_multivariees

Modélisation de la relation entre taux d'intérêt et la production nationale : L'étude consiste à vérifier à travers les modélisation de type VAR, VECM, SVAR la relation que la théorie macroéconomique affirme, entre la Production et le Taux d'intérêt. Nous avons fait le choix de l'étudier pour les Etats-Unis entre 1950 et 2000. (VAR) réalisé sous R.

var_sign-restrictions-idss

var_sign_restrictions-aec

var_sims_rfvar

Temp

var_sovereign

State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and forecast error variance decomposition.

var_srmc

Investigates sensitivity of risk measures including Value-at-Risk, expected-shortfall and expectile-quantile transformation level in the framework of Huber (1964), i.e., considering the underlying model is in an epsilon-neighborhood of the pre-supposed ideal model.

var_stata

VAR vs Bayesian VAR

var_state_space_models

var_stock-watson-3-3-var-replication

Stock & Watson 3*3 VAR Replication. Variables: Inflation, Unemployment and Federal Funds Rate. An exact Replication of SW. Variance Decomposition FEVD - Forecast Error Variance Decomposition.

var_stsvar

Structural Vector Autoregression with Smoth Transition in Variances

var_svar

var_svar-mscthesisicef

This is a repo for my MSc thesis

var_swissvar

VAR Analysis of Switzerland

var_t-var

Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatility Spillovers in Commodity Markets: A Large t-Vector AutoRegressive Approach", Energy Economics.

var_threshtvp

Implementation of the TTVP Model by Huber, Kastner and Feldkircher (2019)

var_time-series-analysis-on-us-industrial-production

This project focuses on multivariate time series and thus we mainly use the tests and models, such as VAR and VARX, which can deal with multivariate time series.

var_time-series-autoregressive-error-correction

Examples of vector autoregressive model. I also discussed vector error correction and time series models for forecasting purposes.

var_tools

Custom functions used when working with the time series data and the `vars` package

var_tvar_shrink

var_tvp-gvar-fsvm

TVP-GVAR-FSVM model proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters"

var_tvp-var

TVP Reaction Function BACEN

var_tvp-var-estimation-workshop

TVP VAR Workshop

var_tvp-var-project-koop-and-korobilis-2010-

Repository for MATLAB code used to replicate Koop and Korobilis 2010, submitted as part of Bayesian Econometrics course.

var_tvp-var-sv-nakajima-2011-

I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.

var_us_model

VAR US Model

var_varm

All aBout Vector Autoregression

var_varmonitor

Tool to monitor VaR of a given portfolio.

var_vector-auto-regression

var_vector-auto-regressive-var

Simple application of a general vector auto regressive model for macroeconomics series