Supplementary replication material of articles published in the Review of Economic Studies

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Published December 6, 2020 | Version v2
Software Open

Replication package for "Identifying Shocks via Time-Varying Volatility"

Creators

  • 1. Federal Reserve Bank of New York

Description

Lewis, Daniel J (2020). "Identifying Shocks via Time-Varying Volatility".

This replication package contains the code necessary to replicate all figures and tables in the main text of the paper, as well as all additional empirical results found in the online supplement. 

Files

Replication Package Public.zip

Files (55.8 MB)

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