Allister Hodge's repositories
Arima-and-GARCH-Modelling
Time series analaysis using arima and garch modelling
bsvarSIGNs
Developing an R package for Bayesian Structural VARs identified by sign and narrative restrictions
BVAR-bayesianvar-Julia
Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models
Copula-VaR-and-ES-Conditional-Monte-Carlo-for-an-Insurance-Claim-Portfolio
This project computes the VaR and ES using Conditional MC for an insurance claim portfolio using Archimedean Copulas to capture any non-linear dependence.
CoVaR_replication_CoQR
Replication Material for the Paper 'Dynamic Co-Quantile Regression'
dynocopula-regime-switching
Regime-switching copula time series
ESA-Nowcasting-2024
Repository of the Insee team competing for the European Statistics Awards for Nowcasting 2024 (https://statistics-awards.eu/)
ettj-Yield_curve
Yield curve estimation via the two step method of decay parameters optimization.
hpfilter-R-package-SSA-Predictor
R-code for SSA predictor: tutorials and replication of JBCY paper
impulse_response-Averaging_Impulse_Responses
Replication code for ``Averaging Impulse Responses", joint with Paul Ho and Thomas Lubik, forthcoming, JME
lpdid-local_projections_diff-in-diff
A Local Projections Approach to Difference-in-Differences Event Studies. Dube et al (2023)
MacroModelling.jl
Macros and functions to work with DSGE models.
MSCopula-regime_switching
An R package used to fit regime-switching copula models with time-varying parameters
NoTeX-econometric_codes
LaTeX notes
nowcasting_benchmark
Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
Project-IV-Bayesian-Inference-for-Stochastic-Volatility-Models
Bayesian Inference of stochastic volatility models.
Replication-Climate-Agricultural_Insurance_ClimRisk
Repository for climate modeling of brazilian agricultural insurance
replication_GR21-Gneiting-and-Resin-2021-
Replication code for the paper Gneiting and Resin (2021)
Stock-Prediction-Using-ARIMA-GARCH
Predicting stock prices using an ARIMA- GARCH model.
SVAR-Kanzig_Shousha_SVARIV
Project of estimation effects of shocks from Shousha (2016) by external instrument from Känzig (2021)
tspdlib-unit-root
GAUSS time series and panel unit root tests compiled by Saban Nazlioglu
VaR-Estimate-using-Copulas
VaR-Estimate-using-Copulas
VaR-Garch-portfolio
ARIMA, GARCH, VaR
VAR-Historical_decomposition-exchange_rates_and_trade
Project to investigate the impact of exchange rate fluctuations on UK trade flows.
VAR-STVAR-sstvars
Toolkit for structural smooth transition vector autoregressive models
VECM_cointegration
An R package to implement VEC models
ycevo_yield_curve
Non-parametric estimation of the discount rate and yield curve