Python package for Diebold–Yilmaz connectedness, realized volatility spillovers and MHAR-LASSO models.
Option-implied tail-risk connectedness factor research pipeline
How much of the Kazakh tenge's movement is imported, and from where: Diebold-Yilmaz connectedness on official data (NBK, Bank of Russia, Fed, EIA, KASE).
Concentrated Sectors Transmit Less: TVP-VAR connectedness across the 11 S&P 500 sectors, 2018-2026; within-sector concentration lowers net shock transmission. SSRN 6475898
Do ESG indices receive fewer volatility shocks than their parent indices during crises? Weekly realized volatility, Diebold-Yilmaz connectedness, TVP-VAR.
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