barunik

DistributionalForecasts.jl

Code accompanying the Anatolyev, S. and Baruník, J., (2019). Forecasting dynamic return distributions based on ordered binary choice. International Journal of Forecasting, 35(3), pp.823-835

DynamicNets.jl

Code for estimation of Large Dynamic Networks

EmpiricalFinancePhD

Empirical Finance Course (PhD, Julia code)

frequencyConnectedness

Spectral decomposition of spillover measures

Prague2020

QSbeta

quantile_coherency_replication

R code to replicate the figures in arXiv:1510.06946.

quantspec

Quantile-based Spectral Analysis of Time Series

sam

Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27, pp.55-78.

sam2N

Code to compute Spillover Asymmetry Measure (SAM 2N) in Baruník, J., Kočenda, E. and Vácha, L., 2017. Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance, 77, pp.39-56.

barunik/sam

Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on the US stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27, pp.55-78.

barunik/frequencyConnectedness

Spectral decomposition of spillover measures

barunik/DistributionalForecasts.jl

Code accompanying the Anatolyev, S. and Baruník, J., (2019). Forecasting dynamic return distributions based on ordered binary choice. International Journal of Forecasting, 35(3), pp.823-835

barunik/sam2N

Code to compute Spillover Asymmetry Measure (SAM 2N) in Baruník, J., Kočenda, E. and Vácha, L., 2017. Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance, 77, pp.39-56.

barunik/DynamicNets.jl

Code for estimation of Large Dynamic Networks

barunik/quantile_coherency_replication

R code to replicate the figures in arXiv:1510.06946.

barunik/QSbeta

barunik/EmpiricalFinancePhD

Empirical Finance Course (PhD, Julia code)

barunik/PQRreturns

Code to compute Panel Quantile Regression for Returns (PQR) introduced in Baruník, J. and Čech, F., 2020. Measurement of common risks in tails: A panel quantile regression model for financial returns. Journal of Financial Markets, https://doi.org/10.1016/j.finmar.2020.100562

barunik/quantspec

Quantile-based Spectral Analysis of Time Series

barunik/TVP-VAR-Estimation-Workshop

TVP VAR Workshop

barunik/Prague2020

barunik/AFE

barunik/barunik.github.io

Modificaion of Jekyll port of One Page Wonder

barunik/DistrNN.jl

barunik/dymodif

Jekyll theme based on Grayscale Start Bootstrap theme

barunik/DynamicNets

barunik/Lviv2019

barunik/MAB.jl

A Julia Package for providing Multi Armed Bandit Experiments

barunik/NDES_summer_2019

barunik/npmsle

Parallel implementation of a nonparametric simulated Maximum Likelihood Estimation (NPSMLE)

barunik/Prague2019

Awesome conference website in 5 minutes.

barunik/Prague2021

barunik/Prague2022

barunik/Prague2023

barunik/Prague2024

barunik/SpillPap

Computation of Connectedness indices as in Diebold & Yilmaz, and Baruník & Křehlík

barunik/tikz-network

A tool to visualize complex networks in LaTeX

barunik/tvPersistence.jl

barunik/waveletcojumps