Benoît BELLONE
I am a "Global Macro" quantitative researcher and portfolio manager working in the financial sector, with a direct interest in asset allocation and asset pricing, business and market cycles, monetary economics and applied econometrics. On this web site, you may find diverse resources related to these fields.
CV Click here to get a short version. |
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BUSINESS CYCLE ECONOMICS You will find resources (in english) dealing with Business Cycle issues and Markov-Switching models used on this web site and some old research. Click here to see references, copy of old papers and data. | |
Download MSVARlib - An open source Gauss - Scilab library to estimate Multivariate Markov-Switching models - MSVARlib is a library allowing estimations of multivariate multi-state Markov switching regression models, based on a classical Maximum likelihood approach and standard optimization procedures. It has been fully inspired by the orignal works of James D. Hamilton and Hans Martin Krolzig. A first version of MSVARlib version was released on February 2004 for Gauss and an upgraded and completed version has been available on this website since Februray 2005. This package has been designed to use minimal Gauss resources and should be easily tranposed to any matricial environnment. A more elaborated Scilab version has been available since 2006 thanks to Eric Dubois, and included in the GROCER toolbox. Click here to download MSVARlib for Scilab users, or go directly to the GROCER web site. |
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