#

vfci

Here is 1 public repository matching this topic...

VFCI / vfci

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

Updated Sep 9, 2024
R

Improve this page

Add a description, image, and links to the vfci topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the vfci topic, visit your repo's landing page and select "manage topics."