volatility-spillovers

There are 0 repository under volatility-spillovers topic.

• lucabarbaglia / t-VAR

  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatility Spillovers in Commodity Markets: A Large t-Vector AutoRegressive Approach", Energy Economics.

  heavy-tailsnetworktvector-autoregressivevolatility-spillovers
  Language:R 17

• hobinkwak / Volatility-Spillover

  computes Volatility Spillover between Cryptocurrency (BTC/USD) and S&P 500 index

  volatility-spilloversvolatility-modelingfinance
  Language:Python 4