This section contains my research toolkits, including event-study code, yield-curve estimation pipelines, BVAR modeling scripts, and portfolio-analysis modules.
BVAR Models
Below are my Bayesian VAR curve estimation for Peruvian yield curve modelling modules, uploaded for replication: Main code: BVAR_Macro_Est_vf.mlx The function support codes: ap_two_step_bvar.m ap_two_step_bvar_p8.m ap_two_step_var.m ap_two_step_var_p8.m bvar1_minnesota.m bvarp_minnesota_p8.m get_ATSM_loadings_bvar1.m make_loading_table_bvar1.m plot_contrib_cross_section_bvar1.m plot_contrib_timeseries_bvar1.m plot_loading_curves_bvar1.m plot_variance_decomp_bvar1.m robust_z.m smooth_latent.m summarize.m var_irf_chol.m variance_decomp_bvar1.m yield_contrib_at_t_bvar1.m The input files: Des_Macro_Vars.xlsx Fuente_Input_Empleo_Mensuales-20250820-192845.xlsx Fuente_Input_IPC_Alimentos_En_Mensuales-20250820-221429.xlsx Fuente_Input_IPC_Importado_Mensuales-20250820-221503.xlsx Fuente_Input_IPC_Mensuales-20250820-215828.xlsx Fuente_Input_PBI_Ind_No_Primario_Mensuales-20250820-210626.xlsx Fuente_Input_PBI_Ind_Primario_Mensuales-20250820-211754.xlsx Fuente_Input_curva_historica.xlsx Fuente_Input_curva_historica2.xlsx Fuente_USA_GS10.csv GS_Consol_Int.xlsx Macro_Data_Consolidated.xlsx Vector_Precios.xlsm