barunik / samLinks
Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27, pp.55-78.
☆13Updated 6 years ago
Alternatives and similar repositories for sam
Users that are interested in sam are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆21Updated 5 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 7 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- R Code CoVaR with Copula☆76Updated 11 months ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated 5 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- ☆11Updated 3 years ago
- ☆11Updated 7 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 10 months ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Updated 3 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated 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 …☆26Updated 2 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Spectral decomposition of spillover measures☆106Updated 2 years ago
- Estimation and forecasting of VAR model with the Lasso☆31Updated 3 months ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Updated 7 years ago
- The code for network autoregression model (NAR)☆10Updated 9 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 2 months ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- A curated list of Vector Autoregression resources☆58Updated 2 years ago
- Systemic Risk - CoVaR☆13Updated 5 years ago