I am interested in the asset return predictability and bayesian econometrics.
Here are some of my replication code:
Replicate the RJMCMC procedure of Smith and Timmermann 2018 (Github LINK)
Replicate the Bayesian Decision Synthesis of Tallman and West 2024 (Github Link)
Replicate the simultaneous graphical dynamic linear models of Gruber and West 2016 (Github Link)
Replicate the pockets of factor pricing Li, Yuan Zhou 2024 (Github Link)