dynamic-conditional-correlation

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OnnoKampman / FCEst

Methods for estimating time-varying functional connectivity (TVFC)

python machine-learning neuroimaging fmri gaussian-processes nilearn sliding-windows connectome brain-connectivity functional-connectivity gpflow network-neuroscience time-varying-connectivity dynamic-functional-connectivity wishart-processes dynamic-conditional-correlation fcest mgarch

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Python

chirindaopensource / how_trade_policy_uncertainty_alters_stock_tbill_relationships

Star

End-to-End Python implementation of Lacava's (2026) "Shifting Correlations" research. Features Numba-compiled GJR-GARCH volatility filtering, augmented DCC-X framework with exogenous Trade Policy Uncertainty integration, structural break testing, out-of-sample GMV optimization, and Model Confidence Set validation.

python jupyter-notebook econometrics portfolio-optimization quantitative-finance numba asset-pricing risk-management time-series-analysis financial-econometrics model-confidence-set volatility-modeling garch-models multivariate-garch dynamic-conditional-correlation structural-breaks trade-policy-uncertainty correlation-modeling covariance-forecasting safe-haven-assets

Updated
Jupyter Notebook

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