☆22Jan 6, 2023Updated 3 years ago
Alternatives and similar repositories for Spillovers-and-Connectedness
Users that are interested in Spillovers-and-Connectedness are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆10Apr 5, 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
- ☆112Feb 20, 2026Updated 3 months 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
- Spectral decomposition of spillover measures☆110Feb 24, 2023Updated 3 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.
- Classes for analysing and implementing equity portfolios in R.☆17Aug 19, 2024Updated last year
- ☆13Aug 31, 2025Updated 9 months 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
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- 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
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 6 months ago
- ☆12Nov 7, 2018Updated 7 years ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆23Apr 22, 2026Updated last month
- Extreme Quantile Regression Neural Networks for Conditionnal Risk Assessment☆18Nov 21, 2025Updated 6 months ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆17May 4, 2025Updated last year
- 学科网课件全自动下载☆15Jan 21, 2026Updated 4 months ago
- ☆14May 13, 2026Updated last month
- 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
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Nov 3, 2020Updated 5 years ago
- An R package for using mixed-frequency GARCH models☆76Jan 13, 2026Updated 5 months ago
- Shiny Application for Commodity Trading☆18Jul 4, 2019Updated 6 years ago
- 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
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆24Nov 14, 2020Updated 5 years ago
- CoVaR estimation via quantile regression☆27Jan 30, 2018Updated 8 years ago
- Bayesian Estimation of a TVP-VAR Model☆19Jun 5, 2018Updated 8 years ago
- 基于Python爬取小红书平台的数据☆20Jan 14, 2025Updated last year
- Tools for generalized quantile modeling☆16Sep 28, 2022Updated 3 years ago
- Replication of key GARCH model papers☆37Mar 10, 2016Updated 10 years ago
- TENET: Tail-Event driven NETwork Risk☆51Oct 21, 2025Updated 7 months ago
- Time Series Analysis for the State-Space Model with R/Stan☆24Oct 10, 2021Updated 4 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆19Jul 19, 2021Updated 4 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Forecasting crude oil price based on only historical price data utilizing time-series forecasting and ensemble modeling.☆17May 1, 2023Updated 3 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
- 不同时间序列预测方法对上海旅游规模进行预测☆19Mar 16, 2019Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- Estimating Dynamic Common Correlated Effects Models in Stata☆32Aug 15, 2025Updated 10 months ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago