This repository includes all relevant codes of the paper "Price Discovery in Credit Risk Markets - A Fractionally Cointegrated Vector Autoregression". The main codes for FCVAR parameter estimation is rely on Popiel and Nielsen (2015).
-
Notifications
You must be signed in to change notification settings - Fork 10
Tinkat/FCVAR
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Fractionally cointegrated vector autoregressive model
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published