APTpy
This package brings the functionality of the APT R library to Python, as well as some additional capabilities and improvements. APT stands for Asymmetric Price Transmission, which we will model using asymmetric threshold vector autoregressions (AT-VECM).
A good reference for the models in this package is Enders and Siklos (2001)
Enders, W. and P. Siklos (2001) "Cointegration and Threshold Adjustment", Journal of Business and Economic Statistics.