We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a popular area of discussion in recent years. Even more recently, it has been increasingly imperative to acknowledge GDP downside risk from the lower quantiles of its conditional distribution. Utilizing methods intr…
☆10Jun 8, 2020Updated 6 years ago
Alternatives and similar repositories for gar-connectedness-a-networks-approach
Users that are interested in gar-connectedness-a-networks-approach are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- Volatility Spillovers based on Diebold and Yilmaz 2012☆19Mar 16, 2022Updated 4 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- ☆22Jan 6, 2023Updated 3 years ago
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 6 months 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.
- Spectral decomposition of spillover measures☆110Feb 24, 2023Updated 3 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆14Apr 17, 2021Updated 5 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆12Jan 2, 2023Updated 3 years ago
- Instrumental Variable Quantile Regression☆13Jul 17, 2023Updated 2 years ago
- TENET: Tail-Event driven NETwork Risk☆51Oct 21, 2025Updated 7 months ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Repository containing vintages of oil supply news shock data☆14Jun 9, 2026Updated last week
- ☆13Apr 16, 2021Updated 5 years ago
- ☆20Mar 21, 2019Updated 7 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Extreme Quantile Regression Neural Networks for Conditionnal Risk Assessment☆18Nov 21, 2025Updated 6 months ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆17May 4, 2025Updated last year
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆27Aug 13, 2023Updated 2 years ago
- ☆10Jan 26, 2025Updated last year
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 3 years ago
- ☆17Oct 20, 2021Updated 4 years ago
- R package to estimate time-varying coefficient regressions☆20Mar 11, 2026Updated 3 months ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Official implementation of "Predicting Systemic Risk in Financial Systems Using Deep Graph Learning"☆13Sep 12, 2023Updated 2 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆23Apr 22, 2026Updated last month
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Jul 18, 2022Updated 3 years ago
- R code for CAViaR model☆33Dec 12, 2021Updated 4 years ago
- Loan Risk Prediction Neural Network and API☆18Oct 23, 2020Updated 5 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28May 23, 2023Updated 3 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆23Jun 4, 2025Updated last year
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- 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
- Option Pricing with Machine Learning Methods☆15Jun 18, 2024Updated 2 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Tools for generalized quantile modeling☆16Sep 28, 2022Updated 3 years ago
- DeepHazard: Neural Network for Time Varying Risks☆15Dec 24, 2020Updated 5 years ago
- 介绍分位数回归，包括分位数Granger因果检验、QVAR及脉冲响应函数☆19Jul 11, 2020Updated 5 years ago
- Markov-Switching State-Space Models☆15Jun 8, 2023Updated 3 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 8 years ago
- CoVaR estimation via quantile regression☆27Jan 30, 2018Updated 8 years ago