Replicate Brogaard Stock Volatility Decomposition
文章目录IntroductionDataandSampleDownloadDataCleanDataExtractEstimationUnitandSetGlobalVariablesImplementBrogaardDecompositionEstimateVARCoefficients,MatrixBBB,ϵt\epsilon_tϵt,Σe\Sigma_eΣe,andΣϵ\Sigma_\eps