☆112Feb 20, 2026Updated 5 months ago
Alternatives and similar repositories for ConnectednessApproach
Users that are interested in ConnectednessApproach are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆22Jan 6, 2023Updated 3 years ago
- ☆10Apr 5, 2022Updated 4 years ago
- Spectral decomposition of spillover measures☆110Feb 24, 2023Updated 3 years ago
- R Code CoVaR with Copula☆76Sep 26, 2024Updated last year
- ☆14May 13, 2026Updated 2 months ago
- Open source password manager - Proton Pass • AdSecurely store, share, and autofill your credentials with Proton Pass, the end-to-end encrypted password manager trusted by millions.
- Shanghai Crude Oil Futures and Stock Market: Time-Varying Correlation and Risk Spillover Effects Study Research Based on the TVP-VAR-DY M…☆36Aug 15, 2024Updated last year
- R package for GARCH-MIDAS☆43Nov 27, 2019Updated 6 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- An Implementation of Parametric and Nonparametric Event Study☆14Nov 13, 2024Updated last year
- TENET: Tail-Event driven NETwork Risk☆52Oct 21, 2025Updated 8 months ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆23Jul 6, 2026Updated 2 weeks ago
- An R package for using mixed-frequency GARCH models☆75Jan 13, 2026Updated 6 months ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 7 years ago
- Systemic Risk - CoVaR☆13May 3, 2020Updated 6 years ago
- Replication code for "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations"☆19Jun 14, 2018Updated 8 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- This project presents the application of a MS-QRNN model designed to estimate Value at Risk accurately by integrating both numerical fin…☆12May 15, 2024Updated 2 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Apr 28, 2026Updated 2 months ago
- The code for the book 《R programming with applications to financial quantitive analysis》☆29May 24, 2018Updated 8 years ago
- Factor-Based Imputation for Missing Data☆66Jan 24, 2025Updated last year
- BSc Thesis on the Garch-Midas model☆28Feb 18, 2022Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Extreme Quantile Regression Neural Networks for Conditionnal Risk Assessment☆18Nov 21, 2025Updated 8 months ago
- SVAR toolbox for bayesian VAR estimation and a range of identification methods☆11Feb 16, 2025Updated last year
- Replication of key GARCH model papers☆37Mar 10, 2016Updated 10 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆19May 21, 2021Updated 5 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Jun 8, 2020Updated 6 years ago
- R Package for data driven SVAR identification of impulse response functions☆57Oct 18, 2025Updated 9 months ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆19Mar 16, 2022Updated 4 years ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆14Oct 11, 2023Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆13Aug 31, 2025Updated 10 months ago
- A framework for financial systemic risk valuation and analysis.☆183Jan 5, 2023Updated 3 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆28Aug 13, 2023Updated 2 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆19Apr 11, 2026Updated 3 months ago
- Quantile Local Projections☆13Aug 8, 2022Updated 3 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆22Aug 8, 2022Updated 3 years ago
- R code for CAViaR model☆34Dec 12, 2021Updated 4 years ago