growth-at-risk

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VFCI / vfci
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
asset-pricing fci heteroskedasticity macroeconomics r r-lang svar vector-autoregression volatility consumption-based-asset-pricing financial-conditions financial-conditions-index price-of-risk v-fci vfci macroeconomic-model macro-finance growth-at-risk monetary-policy
Language:R 4