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.

语言：R · GitHub 星标：19 · Fork：11

话题：heavy-tails · network · tvector-autoregressive · volatility-spillovers

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