tvector-autoregressive

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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.

network tvector-autoregressive volatility-spillovers heavy-tails

Updated Feb 18, 2021
R

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tvector-autoregressive

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lucabarbaglia / t-VAR

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