├── .gitattributes ├── .gitignore ├── EXAMPLE1.m ├── EXAMPLE2.m ├── EXAMPLE3.m ├── EXAMPLE4.m ├── Ellington_2019_Shadow ├── Matlab_Programs │ ├── convergence │ │ ├── SpecDensEstima.m │ │ ├── bartwind.m │ │ ├── beltbloom.m │ │ ├── beltbloomL.m │ │ ├── bootstrap.m │ │ ├── chofac.m │ │ ├── cospsmooth.m │ │ ├── demean.m │ │ ├── growthrate.m │ │ ├── maxindc.m │ │ ├── minindc.m │ │ └── specsmooth.m │ ├── estimate │ │ ├── MINN_BVAR_TRAINING.m │ │ ├── TVP_BURN_G2.m │ │ ├── TVP_BURN_Minn.m │ │ ├── TVP_MCMC_G2.m │ │ ├── TVP_MCMC_Minn.m │ │ ├── bayesreg.m │ │ ├── chofac.m │ │ ├── chovec.m │ │ ├── getalpha.m │ │ ├── getalphafive.m │ │ ├── getalphafour.m │ │ ├── getalphatwo.m │ │ ├── gibbs1.m │ │ ├── gibbs2Q.m │ │ ├── ig2.m │ │ ├── innovm.m │ │ ├── innovm2.m │ │ ├── iwpQ.m │ │ ├── iwpq_2.m │ │ ├── kfP.m │ │ ├── kfPP.m │ │ ├── kfR.m │ │ ├── kfRR.m │ │ ├── lagdep.m │ │ ├── lagdep6.m │ │ ├── lagn.m │ │ ├── mlag2.m │ │ ├── mylagdep.m │ │ ├── rows.m │ │ ├── stackA.m │ │ ├── stochvol.m │ │ ├── surreg.m │ │ ├── svmh.m │ │ ├── svmh0.m │ │ ├── svmhT.m │ │ ├── varroots.m │ │ └── xmat.m │ ├── reduced │ │ ├── N_spec_persistence.m │ │ ├── TVR2.m │ │ ├── doublej.m │ │ └── stochas_sim.m │ └── utilities │ │ ├── DetectNaN.m │ │ ├── TVP_vol_variable.m │ │ ├── ann_dat.m │ │ ├── cffilter.m │ │ ├── cols.m │ │ ├── comp.m │ │ ├── discretesample.m │ │ ├── nberdates.m │ │ ├── outcheck1.m │ │ ├── shade.m │ │ ├── shadenber.m │ │ ├── sortir.m │ │ ├── src │ │ ├── cleanfigure.m │ │ ├── figure2dot.m │ │ ├── m2tInputParser.m │ │ ├── matlab2tikz.m │ │ └── private │ │ │ ├── isAxis3D.m │ │ │ └── m2tUpdater.m │ │ ├── sumq.m │ │ └── vol_roll.m ├── TVP_VAR_SETUP.m └── data │ ├── UK.xlsx │ └── US.xlsx ├── Ellington_TVP_VAR_Course.pdf ├── Ellington_TVP_VAR_Course_2.pdf ├── Estimate_QBLL_Connect.m ├── Example_1_data.xlsx ├── Example_2_data.xlsx ├── Example_3_data.xlsx ├── Example_4_data.xlsx ├── Example_5_data.xlsx ├── Minn_NWprior.m ├── QBLL_univariate.m ├── README.md ├── carterkohn1.m ├── cholx.m ├── cols.m ├── 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