barunik Goto Github PK

afe

barunik.github.io

Modificaion of Jekyll port of One Page Wonder

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

distrnn.jl

dymodif

Jekyll theme based on Grayscale Start Bootstrap theme

dynamicnets

dynamicnets.jl

Code for estimation of Large Dynamic Networks

empiricalfinancephd

Empirical Finance Course (PhD, Julia code)

frequencyconnectedness

Spectral decomposition of spillover measures

lviv2019

mab.jl

A Julia Package for providing Multi Armed Bandit Experiments

ndes_summer_2019

npmsle

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

pkg-latex-metropolis

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

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

prague2019

Awesome conference website in 5 minutes.

prague2020

prague2021

prague2022

prague2023

prague2024

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.

spillpap

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

tikz-network

A tool to visualize complex networks in LaTeX

tvp-var-estimation-workshop

TVP VAR Workshop

tvpersistence.jl