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Popular repositories

  1. Topological-Tail-Dependence-Evidence-from-Forecasting-Realized-Volatility Topological-Tail-Dependence-Evidence-from-Forecasting-Realized-Volatility Public

    This is the GitHub Repository for the research Topological Tail Dependence: Evidence from Forecasting Realized Volatility

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  4. Forecasting-Realized-Volatility-through-Financial-Turbulence-and-Neural-Networks Forecasting-Realized-Volatility-through-Financial-Turbulence-and-Neural-Networks Public

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  5. Absorption_ratio-Mark-Kritzman-Yuanzhen-Li-Sebastien-Page-Roberto-Rigobon-2010- Absorption_ratio-Mark-Kritzman-Yuanzhen-Li-Sebastien-Page-Roberto-Rigobon-2010- Public

    Algorithm that can calculate the daily Absorption Ratio (Systemic Risk indicator) of all S&P 500 companies

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  6. Financial_Turbulence-Mark-Kritzman-CFA-and-Yuanzhen-Li-2010- Financial_Turbulence-Mark-Kritzman-CFA-and-Yuanzhen-Li-2010- Public

    Algorithm to calculate Financial Turbulence for any time period you wish

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