- main_execution_file.m produces all the figures from Section 5 (Quantitative analysis) - generate_Intrade_CDS_graph.m generates the figure from Section 1 (Introduction) - the folders "Code" and "Data" must be stored in the same folder - uses the file fwz_msv_msre.m to solve regime switching models, downloaded from Tao Zha's webpage http://www.tzha.net/code - uses the file gensys.m, downloaded from Chris Sims' webpage
Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki