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/pkg-latex-metropolis

[deprecated as Metropolis is now in TeXLive and hence Debian] (Unofficial) Debian packaging for Metropolis theme for Beamer