liulinxmu Goto Github PK

replication_crossover-jackknife

Code for "Cross-Over Jackknife Bias Correction for Nonlinear/Nonstationary Panel" (with Victor Chernozhukov and Ivan Fernandez-Val)

replication_fiscal_procyclicality_frankel

Replication of the paper on fiscal procyclicality by Frankel, Végh & Vuletin (2011).

replication_jfe_did

This repo contains the code to replicate the analyses in Baker, Larcker, Wang.

rqpen

Penalized Quantile Regression

sarima

Time series modelling with extended regression SARIMA models

sentiment_media_volatility

Code for Financial news media, volatility and the production network: is there more to newspapers than news?

sentimentanalysis

Dictionary-based sentiment analysis

soep-unemployment-health-spillovers

Replication code for Everding and Marcus (2020, Health Economics), combining DiD estimation, Lasso regressions, and entropy balancing

stress_testing_loan_portfolio

structuralbreak_backcusum

R-package accompanying the paper "Backward CUSUM for Testing and Monitoring Structural Change"

svar-msh-id-1

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

svar_proxy_mp_tri

Code for proxy SVAR simu paper

svar_rbsvar

svars

R Package for data driven SVAR identification of impulse response functions

svm_recession

Forecasting recession using Support Vector Machines (SVM) in R

swiid

Standardized World Income Inequality Database

synthdid

Synthetic difference in differences

systemicrisk

A framework for systemic risk valuation and analysis.

systemicrisk_anand_cotter_us_banks_202003

Systematic risk exposures of US Banks

systemicrisk_composite-stress-index

This index was calculated by following the general method of the European Central Bank's Composite index of systemic stress index available on European Central bank's statistical warehouse as CISS. Data import process is automatized by "Quantmod" and "Qunadl" where there are three main data sources (Fred, Yahoo, Quandl). Since these data sources ar

systemicrisk_garpackg

Development of Growth at Risk model

trademaster

TradeMaster is an open-source platform for quantitative trading empowered by reinforcement learning :fire: :zap: :rainbow:

tsfilters

Various time series filters

turbulence-and-systemic-risk

Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=15d25da80de749edd1694fc70d0703bb

tvgarch

:exclamation: This is a read-only mirror of the CRAN R package repository. tvgarch — Time Varying GARCH Modelling. Homepage: https://sites.google.com/site/susanacamposmartins

tvp-network-panel

TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy"

twitter_monetary_policy

Use Convolutional Neural Network to analyze tweets for monetary shock

unconvenmonetarypolicyshocks

Event Study Data for Unconventional Monetary Policy Shocks

unitroot

unit root testing

unitroot_shape_of_economic_recovery

Program and data that belong to "Does the shape of economic recovery matter? An alternative unit root test with new smooth transition model"