Julia code for LSTAR regressions
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Run or just click to view the (jupyter) notebook Example.ipynb. Alternatively, use the julia script Example.jl.
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The subfolder jlFiles contains jl files with functions used in the example.
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CTData.csv: FX data used in the example
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CarryTradeCRS201002.pdf: paper using this approach, published as Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind, "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, 46, 1107-1125, 2011.
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The current version has been tested on Julia 1.9.