mpfarrho
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Highlights
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mpfarrho.github.io Public
Forked from academicpages/academicpages.github.ioPersonal website
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mf-bavart Public
MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
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qf-bart Public
QF-BART model introduced in "Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model"
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idhet-mix Public
Mixture factor model used in "Financial markets and legal challenges to unconventional monetary policy"
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tvp-qr Public
TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regressions"
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tvp-gvar-fsvm Public
TVP-GVAR-FSVM model proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters"
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tvp-network-panel Public
TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy"