#
asset-pricing
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The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.
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Updated
Dec 12, 2021 - R
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
r
volatility
asset-pricing
macroeconomics
vector-autoregression
monetary-policy
heteroskedasticity
fci
svar
r-lang
growth-at-risk
macroeconomic-model
price-of-risk
consumption-based-asset-pricing
vfci
v-fci
financial-conditions
financial-conditions-index
macro-finance
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Updated
Sep 9, 2024 - R
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