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1. Macroeconometrics-Monetary-Policy-Surprises Macroeconometrics-Monetary-Policy-Surprises Public

   Forked from Timodang/Project-Macroeconometrics

   High-frequency identification of monetary policy surprises and their effects on the yield curve and macroeconomic outcomes.

   MATLAB

2. endogenous-regime-switching-ccp2017 endogenous-regime-switching-ccp2017 Public

   MATLAB replication and extension of Chang, Choi & Park (2017): endogenous regime switching with latent AR(1) dynamics. Applied to US GDP, VIX, WTI, and equity returns.

   MATLAB

3. ESSD ESSD Public

   Full pipeline for fiscal nowcasting, fiscal fragmentation measurement and monetary policy transmission analysis in the euro area.

   R 1

4. Masters-thesis-nmd-risk-modeling Masters-thesis-nmd-risk-modeling Public

   Code developed as part of my second-year master’s thesis, focusing on quantifying the effects of model specification, interest-rate dynamics, and their interaction on the risks related to non-matur…

   Jupyter Notebook 1

5. Trinomial-Tree-for-Option-Pricing Trinomial-Tree-for-Option-Pricing Public

   Trinomial Tree for American and European Option Pricing, using an object-oriented approach in Python and VBA

   Python

6. global-commodity-cycles-and-linkages-favar-replication global-commodity-cycles-and-linkages-favar-replication Public

   Replication and extension of the following ECB Working Paper: Global commodity cycles and linkages, Lombardi, Osbat et Schnatz, 2010

   R