Skip to content
#

correlation-modeling

Star

Here is 1 public repository matching this topic...

chirindaopensource / how_trade_policy_uncertainty_alters_stock_tbill_relationships

Star 0

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 Mar 29, 2026
  • Jupyter Notebook

Improve this page

Add a description, image, and links to the correlation-modeling topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the correlation-modeling topic, visit your repo's landing page and select "manage topics."

Learn more