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.
computes Volatility Spillover between Cryptocurrency (BTC/USD) and S&P 500 index
Replication code and materials for Onodje (2026), "Hysteresis between Bitcoin, Gold, Oil, and the S&P 500 index: Evidence from a multi-threshold connectedness approach," Finance Research Open.
DCC-GARCH analysis of volatility spillovers between COMEX and Pakistani precious metal markets (gold & silver), 2015–2024
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