Jozef Barunik (@barunik)
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1

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.
MATLAB
12
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2

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
Julia
7
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3

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.
MATLAB
7
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4

DynamicNets.jl

Code for estimation of Large Dynamic Networks
Jupyter Notebook
5
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5

QSbeta

Jupyter Notebook
2
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