Ang and Piazzesi (2013) or Hamilton and Wu (2014)
Posted: Sat Mar 24, 2018 9:31 am
Did anyone try coding up Ang and Piazzesi (2013) "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables." Journal of Monetary Economics, 50(4), 745-787. Alternatively, Hamilton and Wu (2014) "Risk Premia in Crude Oil Futures Prices", Journal of International Money and Finance, 42 (April 2014): 9-37, apply Ang and Piazzesi (2013)'s approach to the oil market. I am attaching the data and MATLAB code for Hamilton and Wu (2014). It would be great to have this in RATS.