Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix

R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity

Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R

Likelihood ratio based tests for regime switching

R package for Markov-Switching Mean-Adjusted VAR estimation via EM algorithm.

Financial Data Analytics Dashboard

Systematischer Vergleich ökonometrischer Modelle und moderner Machine-Learning-Verfahren zur regimebasierten dynamischen Asset-Allokation und Drawdown-Reduktion.

Create sparse transition matrices given state-space vectors, mean, variance

Synthetic data and PBO sensitivity in quantitative strategy selection (Master's thesis, UTDT 2026).

A rigorous, reproducible benchmark of regime-switching models for agricultural commodity prices — from Hamilton (1989) MS-AR to HMM-LSTM hybrids to zero-shot Chronos. Walk-forward backtesting, statistical significance testing, three commodities, four horizons.

End-to-End Python implementation of Markov-Switching VAR framework for detecting endogenous financial fragility. Replicates Delli Gatti et al.'s (2025) methodology using EM algorithm, Hamilton filtering, and HP spectral decomposition to empirically test Minsky's Financial Instability Hypothesis in macroeconomic data.

📊 Explore regime changes and real financial cycles through Minsky's hypothesis in a nonlinear framework, enhancing macroeconomic and financial analysis.