Now showing items 41-47 of 47
RiskAnalytics: an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing ...
(Un)expected Monetary Policy Shocks and Term Premia
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...
Conditional moment restrictions and the role of density information in estimated structural models
While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the ...
GitHub API based QuantNet Mining infrastructure in R
QuantNet being an online GitHub based organization is an integrated environment consisting of different types of statistics-related documents and program codes called Quantlets. The QuantNet Style Guide and the yamldebugger ...
Adaptive weights clustering of research papers
The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic ...